Interest Rate Models
Springer | 2001-08-09 | ISBN: 3540417729 | 518 pages | PDF | 96 MB
New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Enjoy this great book! Brought to you by SMIRK
The archives are interchangeable!
|a b c d e f g h i j k l m n o p q r s t u v w x y z 0 1 2 3 4 5 6 7 8 9 |
а б в г д е ж з и й к л м н о п р с т у ф х ц ч ш щ ъ ы ь э ю я
Посетители, находящиеся в группе Гости, не могут оставлять комментарии в данной новости.