Overview
- Includes supplementary material: sn.pub/extras
Part of the book series: SpringerBriefs in Quantitative Finance (BRIEFFINANCE)
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Table of contents (4 chapters)
Keywords
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.
Authors and Affiliations
Bibliographic Information
Book Title: Interest Rate Modeling: Post-Crisis Challenges and Approaches
Authors: Zorana Grbac, Wolfgang J. Runggaldier
Series Title: SpringerBriefs in Quantitative Finance
DOI: https://doi.org/10.1007/978-3-319-25385-5
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s) 2015
Softcover ISBN: 978-3-319-25383-1Published: 16 February 2016
eBook ISBN: 978-3-319-25385-5Published: 26 December 2015
Series ISSN: 2192-7006
Series E-ISSN: 2192-7014
Edition Number: 1
Number of Pages: XIII, 140
Number of Illustrations: 4 b/w illustrations, 1 illustrations in colour
Topics: Quantitative Finance, Game Theory, Economics, Social and Behav. Sciences