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Interest rate models : theory and practice /

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This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.

Bibliographic Details
Main Author: Brigo, Damiano, 1966- (Author)
Other Authors: Mercurio, Fabio, 1966-
Format: Book
Language:English
Language Notes:English.
Published: Berlin ; New York : Springer, [2001]
Series:Springer finance.
Subjects:
Interest rates > Mathematical models.
Derivative securities > Prices > Mathematical models.
Taux d'intérêt > Modèles mathématiques.
Instruments dérivés (Finances) > Prix > Modèles mathématiques.
Stochastisches Modell
Zinsstrukturtheorie
Rente.
Wiskundige modellen.
Prijzen (economie)
Wiskundige economie.
Portfolio-analyse.
Stochastische analyse.
TAXA DE JUROS (MODELOS MATEMÁTICOS)
Online Access:Table of contents
Cover
Kapitel 1
Verlagsinformation
http://digitool.hbz-nrw.de:1801/webclient/DeliveryManager?application=DIGITOOL-3&owner=resourcediscovery&custom_att_2=simple_viewer&user=GUEST&pid=1467500
Description
Summary:This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.
Physical Description:xxxv, 518 pages : illustrations ; 24 cm
Bibliography:Includes bibliographical references (pages 501-508) and index.
ISBN:3540417729
9783540417729