The New Interest Rate Models : Recent Developments in the theory and Application of Yield Curve Dynamics
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A comprehensive collection that looks at the development of interest-rate models from 1992 to present.
*Covers interest-rate analysis in the light of increased computer power
*Investigates simulation processes, ie random walks and Monte Carlo simulation
*Details the development of three new interest-rate model types including the Markov decision process, extensions and generalisations to the Heath-Jarrow-Morton model and market models
*Makes accessible advanced models that enable modellers to “complete the market” more efficiently when calculating interest rate securities and options’ portfolios
*Analysis of Heath-Jarrow-Morton extensions
Publisher : Risk Books; First Edition (November 1, 2000)
Language : English
Hardcover : 350 pages
ISBN-10 : 1899332979
ISBN-13 : 978-1899332977
Item Weight : 3.26 pounds
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