Interest Rate Modeling. Volume 2 - Term Structure Models (Hardcover)

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.

General

Imprint:	Atlantic Financial Press
Country of origin:	United Kingdom
Release date:	August 2010
First published:	August 2010
Authors:	Leif B.G. Andersen • Vladimir V. Piterbarg
Dimensions:	234 x 156 x 22mm (L x W x T)
Format:	Hardcover - Sewn / Cloth over boards / With dust jacket
Pages:	376
ISBN-13:	978-0-9844221-1-1
Categories:	Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General Promotions
LSN:	0-9844221-1-0
Barcode:	9780984422111

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