SpringerBriefs in Quantitative Finance

Interest Rate Modeling: Post-Crisis Challenges and Approaches

Authors: Grbac, Zorana, Runggaldier, Wolfgang J.

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eBook 41,64 €
price for Korea, Republic of (South Korea) (gross)
  • ISBN 978-3-319-25385-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 49,99 €
price for Korea, Republic of (South Korea) (gross)
  • ISBN 978-3-319-25383-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice.  The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.

Table of contents (4 chapters)

  • Post-Crisis Fixed-Income Markets

    Grbac, Zorana (et al.)

    Pages 1-33

    Preview Buy Chapter 24,95 €
  • Short-Rate and Rational Pricing Kernel Models for Multiple Curves

    Grbac, Zorana (et al.)

    Pages 35-76

    Preview Buy Chapter 24,95 €
  • Multiple Curve Heath–Jarrow–Morton (HJM) Framework

    Grbac, Zorana (et al.)

    Pages 77-114

    Preview Buy Chapter 24,95 €
  • Multiple Curve Extensions of Libor Market Models (LMM)

    Grbac, Zorana (et al.)

    Pages 115-135

    Preview Buy Chapter 24,95 €

Buy this book

eBook 41,64 €
price for Korea, Republic of (South Korea) (gross)
  • ISBN 978-3-319-25385-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 49,99 €
price for Korea, Republic of (South Korea) (gross)
  • ISBN 978-3-319-25383-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Interest Rate Modeling: Post-Crisis Challenges and Approaches
Authors
Series Title
SpringerBriefs in Quantitative Finance
Copyright
2015
Publisher
Springer International Publishing
Copyright Holder
The Author(s)
eBook ISBN
978-3-319-25385-5
DOI
10.1007/978-3-319-25385-5
Softcover ISBN
978-3-319-25383-1
Series ISSN
2192-7006
Edition Number
1
Number of Pages
XIII, 140
Number of Illustrations and Tables
4 b/w illustrations, 1 illustrations in colour
Topics