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Interest Rate Modeling. Volume 1: Foundations and Vanilla Models



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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 I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.






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 I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.


Under a short rate model the stochastic state variable is taken to be the instantaneous spot rate. This is a most comprehensive book on interest rate modeling and derivatives . Piterbarg Vladimir V. Piterbarg download ZLibrary. The models considered range from standard short rate to forward rate models and include more advanced topics such as the BGM model and an approach to its calibration.


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Interest Rate Modeling. Volume 1 Foundations and Vanilla Models. different from the option found in loans. Piterbarg 6 February 2010. In an interest rate swap the principal amount is not actu ally exchanged between the counterparties rather inter est payments are exchanged based on a notional amount or notional. Volume I provides the theoretical and computational foundations for the series . Volume 2 Term Structure Models Interest Rate Modeling. Andersen Vladimir V. fixed income market interest rate futures and futures options emerged in the 1980s in response. Robert Matthijs Verschuren Stochastic interest rate modelling using a single or multiple curves an empirical performance analysis of the Lévy forward price model Quantitative Finance. 126 2020. Volume 1 Foundations and Vanilla Models by Leif B. A similar model that assumes that interest rates can be negative is the socalled Bachelier model conceived by one of the early developers of option pricing theory Louis Bachelier in 1900.


Darmowe e-booki Interest Rate Modeling. Volume 1: Foundations and Vanilla Models PDF. Książki elektroniczne najsłynniejszy PDF .

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