The New Interest Rate Models: Innovations from Heath-Jarrow-Morton to the Present - Hardcover

 
9781899332977: The New Interest Rate Models: Innovations from Heath-Jarrow-Morton to the Present
Hardcover
ISBN 10: 1899332979 ISBN 13: 9781899332977
Verlag: Risk Books, 2000

Críticas

"Provides an excellent view of the various approaches to modelling interest rates that are available in the market...A useful reference for anyone working on interest rates" Douglas Long, Principia Partners

Reseña del editor

This work is a comprehensive collection that looks at the development of interest-rate models from 1992 to 2000. It covers interest-rate analysis in the light of increased computer power, investigates simulation processes such as random walks and Monte Carlo simulation, and details the development of three new ineterest-rate model types including the Markov decision process, extensions and generalizations to the Heath-Jarrow-Morton model and market models. The book also makes accessible advanced models that enable modellers to "complete the market" more efficiently when calculating interest rate securities and options' portfolios.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Risk Books
Erscheinungsdatum
2000
Sprache
Englisch
ISBN 10 
1899332979
ISBN 13 
9781899332977
Einband
Tapa dura
Anzahl der Seiten
300
Herausgeber
Hughston Lane
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Nicht verfügbar