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Autor(en): 
  • Leif B. G. Andersen
  • Vladimir V. Piterbarg
  • Interest Rate Modeling. Volume 2: Term Structure Models 
     

    (Buch)
    Dieser Artikel gilt, aufgrund seiner Grösse, beim Versand als 3 Artikel!


    Übersicht
     
    Lieferstatus:   i.d.R. innert 7-14 Tagen versandfertig
    Veröffentlichung:  1997  
    Genre:  Wirtschaft / Recht 
    ISBN:  9780984422111 
    EAN-Code: 
    9780984422111 
    Verlag:  Atlantic Financial Press 
    Einband:  Gebunden  
    Sprache:  English  
    Dimensionen:  H 241 mm / B 163 mm / D 27 mm 
    Gewicht:  724 gr 
    Seiten:  376 
    Zus. Info:  54:B&W 6.14 x 9.21in or 234 x 156mm (Royal 8vo) Blue Cloth w/Jacket on White w/Gloss Lam 
    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.

      
     Empfehlungen... 
     Interest Rate Modeling. Volume 3: Products and Ris - (Buch)
     Interest Rate Modeling. Volume 1: Foundations and - (Buch)
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