روش های کارآمد برای ارزش نهادن به مشتقات نرخ بهره Efficient Methods for Valuing Interest Rate Derivatives
- نوع فایل : کتاب
- زبان : انگلیسی
- نویسنده : Antoon Pelsser
- ناشر : Springer
- چاپ و سال / کشور: 2000
- شابک / ISBN : 9781852333041, 1852333049
Description
I had a strong background in equity derivative models but found the leap to interest rate models difficult. What are the relationships between short rates, forward rates, and term structure? How do assumptions translate into restrictions on our ability to model the "stylized facts" of interest rates? How are assumption violations "corrected" by practitioners?This book answers all of these questions in a straightforward yet rigorous manner. Explanations are supplemented with simple examples.After reading this book, I had the roadmap and analytical context I needed to tackle implementation focused books like Brigo and Mercurio.As a bonus, this book provides a very nice summary of major valuation tools. (Monte Carlo simulation of martingale processes, development of pricing PDE via Feynman-Kac, development of fundamental solutions, etc.)
