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Efficient methods for valuing interest rate derivatives

Efficient methods for valuing interest rate derivatives (Loan 8 times)

Material type
단행본
Personal Author
Pelsser, Antoon , 1968-.
Title Statement
Efficient methods for valuing interest rate derivatives / Antoon Pelsser.
Publication, Distribution, etc
London ;   New York :   Springer ,   2000.  
Physical Medium
xii, 172 p. : ill. ; 24 cm.
Series Statement
Springer finance
ISBN
1852333049 (alk. paper)
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Derivative securities.
000 00849pamuu22002654a 4500
001 000045271078
005 20060621151606
008 000428s2000 enka b 001 0 eng
010 ▼a 00033821
020 ▼a 1852333049 (alk. paper)
035 ▼a (KERIS)REF000005989822
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
042 ▼a pcc
050 0 0 ▼a HG6024.A3 ▼b P45 2000
082 0 0 ▼a 332.63/23 ▼2 21
090 ▼a 332.6323 ▼b P392e
100 1 ▼a Pelsser, Antoon , ▼d 1968-.
245 1 0 ▼a Efficient methods for valuing interest rate derivatives / ▼c Antoon Pelsser.
260 ▼a London ; ▼a New York : ▼b Springer , ▼c 2000.
300 ▼a xii, 172 p. : ▼b ill. ; ▼c 24 cm.
440 0 ▼a Springer finance
504 ▼a Includes bibliographical references and index.
650 0 ▼a Derivative securities.
945 ▼a KINS

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.6323 P392e Accession No. 111367130 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

1. Introduction.- 2. Arbitrage, Martingales and Numerical Methods.- 3. Spot and Forward Rate Models.- 4. Fundamental Solutions and the Forward-Risk-Adjusted Measure.- 5. The Hull-White Model.- 6. The Squared Gaussian Model.- 7. An Empirical Comparison of One-Factor Models.- 8. LIBOR and Swap Market Models.- 9. Markov-Functional Models.- 10. An Empirical Comparison of Market Models.- 11. Convexity Correction.- 12. Extensions and Further Developments.- References.


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