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Efficient Methods for Valuing Interest Rate Derivatives

  • Book
  • © 2000

Overview

Authors:
  1. Antoon Pelsser

    1. Department of Finance, Erasmus University, Rotterdam, The Netherlands

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  • This book is based on the author's award-winning thesis, which has been updated to include his most recent research
  • It contains up-to-date research on the recently developed Market models
  • The author writes from an industrial perspective and focuses on the practical issues of implementation and model selection

Part of the book series: Springer Finance (FINANCE)

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Table of contents (12 chapters)

  1. Front Matter

    Pages i-xii
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  2. Introduction

    1. Introduction

      • Antoon Pelsser
      Pages 1-4

  3. Arbitrage, Martingales and Numerical Methods

    1. Arbitrage, Martingales and Numerical Methods

      • Antoon Pelsser
      Pages 5-20

  4. Spot and Forward Rate Models

    1. Front Matter

      Pages 21-21
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    2. Spot and Forward Rate Models

      • Antoon Pelsser
      Pages 23-30

    3. Fundamental Solutions and the Forward-Risk-Adjusted Measure

      • Antoon Pelsser
      Pages 31-43

    4. The Hull-White Model

      • Antoon Pelsser
      Pages 45-58

    5. The Squared Gaussian Model

      • Antoon Pelsser
      Pages 59-70

    6. An Empirical Comparison of One-Factor Models

      • Antoon Pelsser
      Pages 71-84

  5. Market Rate Models

    1. Front Matter

      Pages 85-85
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    2. LIBOR and Swap Market Models

      • Antoon Pelsser
      Pages 87-107

    3. Markov-Functional Models

      • Antoon Pelsser
      Pages 109-129

    4. An Empirical Comparison of Market Models

      • Antoon Pelsser
      Pages 131-137

    5. Convexity Correction

      • Antoon Pelsser
      Pages 139-157

    6. Extensions and Further Developments

      • Antoon Pelsser
      Pages 159-162

  6. Back Matter

    Pages 163-172
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Keywords

About this book

Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection.
Aimed at people with a solid quantitative background, this book will be of particular interest to risk managers, interest rate derivative traders, quantitative researchers, portfolio and fund managers, and students of mathematics and economics, but it will also prove invaluable to anyone looking for a good overview of interest rate derivative modelling.

Authors and Affiliations

  • Department of Finance, Erasmus University, Rotterdam, The Netherlands

    Antoon Pelsser

Bibliographic Information

  • Book Title: Efficient Methods for Valuing Interest Rate Derivatives

  • Authors: Antoon Pelsser

  • Series Title: Springer Finance

  • DOI: https://doi.org/10.1007/978-1-4471-3888-4

  • Publisher: Springer London

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag London 2000

  • Hardcover ISBN: 978-1-85233-304-1Published: 31 July 2000

  • Softcover ISBN: 978-1-84996-861-4Published: 21 October 2010

  • eBook ISBN: 978-1-4471-3888-4Published: 09 March 2013

  • Series ISSN: 1616-0533

  • Series E-ISSN: 2195-0687

  • Edition Number: 1

  • Number of Pages: XII, 172

  • Number of Illustrations: 3 b/w illustrations

  • Topics: Quantitative Finance

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