Interest Rate Modeling. Volume 1

Foundations and Vanilla Models

Autor: Vladimir V Piterbarg

Jazyk:

Vazba: Pevná

Vydavatel: Atlantic Financial Press

Dostupnost: Skladem u dodavatele

Odesíláme za 10-18 dnů

2 323 Kč

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

Informace o knize

Autor

Vladimir V Piterbarg

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2010

Stránek

492

EAN

9780984422104

ISBN

9780984422104

Enbook ID

07436285

Vydavatel

Atlantic Financial Press

Hmotnost

916

Rozměry

160 x 240 x 35

Kompletní popis

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 I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Interest Rate Modeling. Volume 1

Foundations and Vanilla Models

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také