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AuthorPelsser, Antoon. author
TitleEfficient Methods for Valuing Interest Rate Derivatives [electronic resource] / by Antoon Pelsser
ImprintLondon : Springer London : Imprint: Springer, 2000
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Descript XII, 172 p. 3 illus. online resource


Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection. Aimed at people with a solid quantitative background, this book will be of particular interest to risk managers, interest rate derivative traders, quantitative researchers, portfolio and fund managers, and students of mathematics and economics, but it will also prove invaluable to anyone looking for a good overview of interest rate derivative modelling


1. Introduction -- 2. Arbitrage, Martingales and Numerical Methods -- 3. Spot and Forward Rate Models -- 4. Fundamental Solutions and the Forward-Risk-Adjusted Measure -- 5. The Hull-White Model -- 6. The Squared Gaussian Model -- 7. An Empirical Comparison of One-Factor Models -- 8. LIBOR and Swap Market Models -- 9. Markov-Functional Models -- 10. An Empirical Comparison of Market Models -- 11. Convexity Correction -- 12. Extensions and Further Developments -- References

Mathematics Economics Mathematical Mathematics Quantitative Finance


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