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Efficient Methods for Valuing Interest Rate Derivatives
Author(s): Antoon Pelsser (Author)
- Publisher: Springer
- Publication Date: 15 Jan. 2014
- Language: English
- Print length: 188 pages
- ISBN-10: 1447138899
- ISBN-13: 9781447138891
Book Description
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.
