Interest Rate Modeling. Volume 2

Name: Interest Rate Modeling. Volume 2
Brand: Atlantic Financial Press
SKU: 9780984422111
Price: 100.57 EUR
Availability: InStock

Term Structure Models

Autor: Vladimir V Piterbarg

Jazyk:

Väzba: Pevná

Vydavateľ: Atlantic Financial Press

Dostupnosť: Skladom u dodávateľa

Odosielame za 10-18 dní

100.57 €

The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of tech...

Informácie o knihe

Autor

Vladimir V Piterbarg

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2010

Stránok

376

EAN

9780984422111

ISBN

9780984422111

Enbook ID

07436286

Vydavateľ

Atlantic Financial Press

Hmotnosť

745

Rozmery

160 x 245 x 15

Kompletný popis

The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. Volume II is dedicated to in-depth study of term structure models of interest rates. While providing a thorough analysis of classical short rate models, the primary focus of the volume is on multi-factor stochastic volatility dynamics, in the setups of both the separable HJM and Libor market models. Implementation techniques are covered in detail, as are strategies for model parameterization and calibration to market data.

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Interest Rate Modeling. Volume 2

Term Structure Models

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