Interest Rate Modeling. Volume 2: Term Structure Models - Tapa dura

Andersen, Leif B. G.; Piterbarg, Vladimir V.

 
9780984422111: Interest Rate Modeling. Volume 2: Term Structure Models
Tapa dura
ISBN 10: 0984422110 ISBN 13: 9780984422111
Editorial: Atlantic Financial Press, 2010

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Atlantic Financial Press
Año de publicación
2010
Idioma
Inglés
ISBN 10 
0984422110
ISBN 13 
9780984422111
Encuadernación
Tapa dura
Número de páginas
376
Contacto del fabricante
no disponible
Persona responsable
no disponible