ارزیابی اوراق بهادار مشتقه نرخ بهره The valuation of interest rate derivative securities
- نوع فایل : کتاب
- زبان : انگلیسی
- نویسنده : Jeroen F. J. De Munnik
- ناشر : Routledge
- چاپ و سال / کشور: 1996
- شابک / ISBN : 0415137276, 9780415137270, 9780203982778
Description
The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, stress the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: a detailed overview and classification of the different approaches to value interest rate dependent securities; a comparison of the numerical approaches to value complex securities; and an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.
