Efficient Methods for Valuing Interest Rate Derivatives |  | Author: Antoon Pelsser
Publisher: Springer
Category: Book
List Price: $99.00
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Seller: surpluscomputerbooks
Rating:  2 reviews
Sales Rank: 893,723
Media: Hardcover
Edition: 1st Edition.
Pages: 172
Number Of Items: 1
Shipping Weight (lbs): 1
Dimensions (in): 9.3 x 6.1 x 0.7
ISBN: 1852333049
Dewey Decimal Number: 332.6323
EAN: 9781852333041
ASIN: 1852333049
Publication Date: September 6, 2000
Availability: Usually ships in 1-2 business days
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Product Description
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.
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| Customer Reviews:
Begin your BGM, Libor & Swap market model journey here. March 1, 2003
J S Dhaliwal (London United Kingdom)
11 out of 11 found this review helpful
If you want a concise, clearly written and excellently explained introduction to the cutting edge interest rate models used in dealing rooms today. Look no further. With an elementary stochastic calculus background from Rennie & Baxter, this book is very readable, even on a crowded train! For those who want more details & case studies, have Interest Rate Models by Brigo & Mercurio as a companion text. With useful tips on Libor & swap market model implementation, and a whole chapter devoted to convexity correction. One of the best texts on the subject I have read.
Finally... a road map to interest rate models!!! August 7, 2003
10 out of 10 found this review helpful
I had a strong background in equity derivative models but found the leap to interest rate models difficult. What are the relationships between short rates, forward rates, and term structure? How do assumptions translate into restrictions on our ability to model the "stylized facts" of interest rates? How are assumption violations "corrected" by practitioners?This book answers all of these questions in a straightforward yet rigorous manner. Explanations are supplemented with simple examples. After reading this book, I had the roadmap and analytical context I needed to tackle implementation focused books like Brigo and Mercurio. As a bonus, this book provides a very nice summary of major valuation tools. (Monte Carlo simulation of martingale processes, development of pricing PDE via Feynman-Kac, development of fundamental solutions, etc.)
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