Interest Rate Modeling: Post-Crisis Challenges and Approaches (SpringerBriefs in Quantitative Finance)

Grbac, Zorana; Runggaldier, Wolfgang

ISBN 10: 3319253832 / ISBN 13: 9783319253831

Edité par Springer, 2016

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In.

N° de réf. du vendeur ria9783319253831_new

Détails bibliographiques

• Titre: Interest Rate Modeling: Post-Crisis Challenges and Approaches (SpringerBriefs in Quantitative Finance)
• Éditeur: Springer
• Date de parution: 2016
• Langue: anglais
• ISBN à 10 chiffres: 3319253832
• ISBN à 13 chiffres: 9783319253831
• Reliure: Couverture souple
• État de l'article: New

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Synopsis

Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice.  The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.