Übersicht			Auf mobile öffnen

Lieferstatus:	i.d.R. innert 14-24 Tagen versandfertig
Veröffentlichung:	August 2010
Genre:	Wirtschaft / Recht
ISBN:	9780984422111
EAN-Code:	9780984422111
Verlag:	Atlantic Financial Press
Einband:	Gebunden
Sprache:	English
Dimensionen:	H 240 mm / B 161 mm / D 25 mm
Gewicht:	745 gr
Seiten:	376
Zus. Info:	HC gerader Rücken mit Schutzumschlag
Bewertung:	Titel bewerten / Meinung schreiben

Inhalt:

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.