Efficient Methods for Valuing Interest Rate Derivatives
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 conce...
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| Format: | eBook |
| Language: | English |
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London
Springer London
2000, 2000
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| Edition: | 1st ed. 2000 |
| Series: | Springer Finance
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| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- 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