Interest Rate Modeling. Volume 2 : Term Structure Models

Leif B G Andersen

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Language: English

Published by Atlantic Financial Press Aug 2010, 2010

0984422110 / 9780984422111

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Neuware - 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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Title
Interest Rate Modeling. Volume 2 : Term Structure Models
Author
Leif B G Andersen
Publisher
Atlantic Financial Press Aug 2010
Publication year
2010
Condition
Neu
Binding
Buch
Language
English
ISBN 10
0984422110
ISBN 13
9780984422111
Item weight
746 grams
Dimensions
245x160x15 mm

AHA-BUCH GmbH

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