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.

Product Details

• Amazon Sales Rank: #223179 in Books
• Published on: 2000-07-31
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 172 pages

Customer Reviews

Libor Market Model demystified...what a nice book!
This book offer an excellent treatment of pricing models implementation for interest rate derivatives...the first 8 chapters cover with reasonable details classic term structure models (Vasickek, Hull-White, HJM) and introduces you to the martingale techniques (change of measure, change of numeraire theorem, Radon-Nykodym derivative...) for evaluating derivatives structure. This latter approach is compared with the PDE based approach giving you a nice picture of the whole story ..but the best part begins undoubtely with chapter 8 which gives a clear, accessible (well,the author assumes good background in stochastic calculus)to Libor and Swap Market Models. This part is enriched with practical examples dealing with the application of LMM and SMM to some exotic interest rate structures such as Barrier Caps, Ratchets and Spread Options. Even if this book misses a detailed treatment of swaption bermudan pricing (yeah, at least one negative point!) my opinion of this book is absolutely positive both for practioneers and students aiming to have a compact and readable treatment of these topics.