Interest Rate Modeling: Post-Crisis Challenges and Approaches
Zorana Grbac author Wolfgang Runggaldier author
Format:Paperback
Publisher:Springer International Publishing AG
Published:16th Feb '16
Currently unavailable, and unfortunately no date known when it will be back
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.
ISBN: 9783319253831
Dimensions: unknown
Weight: 2467g
140 pages
1st ed. 2015