Interest Rate Modeling. Volume 3

Name: Interest Rate Modeling. Volume 3
Brand: Atlantic Financial Press
SKU: 9780984422128
Price: 100.75 EUR
Availability: InStock

Products and Risk Management

Autor: Vladimir V Piterbarg

Jazyk:

Väzba: Pevná

Vydavateľ: Atlantic Financial Press

Dostupnosť: Skladom u dodávateľa

Odosielame za 10-18 dní

100.75 €

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

548

EAN

9780984422128

ISBN

9780984422128

Enbook ID

07436287

Vydavateľ

Atlantic Financial Press

Hmotnosť

1012

Rozmery

242 x 169 x 42

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. The first half of Volume III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations.

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Interest Rate Modeling. Volume 3

Products and Risk Management

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