Interest Rate Modeling. Volume 2

Name: Interest Rate Modeling. Volume 2
Brand: Atlantic Financial Press
SKU: 9780984422111
Price: 105.35 EUR
Availability: InStock

Term Structure Models

Автор: Vladimir V Piterbarg

Език:

Корици: С твърди корици

Издател: Atlantic Financial Press

Наличност: Външен склад

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105.35 € 206.04 лв

The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of tech...

Информация за книгата

Автор

Vladimir V Piterbarg

Език

Английски език

Корици

Книга - С твърди корици

Издадена

2010

страници

376

EAN

9780984422111

ISBN

9780984422111

Enbook ID

07436286

Издател

Atlantic Financial Press

Теглоt

745

Размери

160 x 245 x 15

Пълно описание

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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Interest Rate Modeling. Volume 2

Term Structure Models

Информация за книгата

Пълно описание

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Клиенти, които купиха тази книга, купиха също