Efficient Methods For Valuing Interest Rates Derivatives
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Author | : Antoon Pelsser |
Publisher | : Springer Science & Business Media |
Total Pages | : 177 |
Release | : 2013-03-09 |
Genre | : Mathematics |
ISBN | : 1447138880 |
This book 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 a host of practical issues.
Author | : |
Publisher | : |
Total Pages | : 172 |
Release | : 2000 |
Genre | : Derivative securities |
ISBN | : |
Author | : Peter Kohl-Landgraf |
Publisher | : BoD – Books on Demand |
Total Pages | : 222 |
Release | : 2007 |
Genre | : Derivative securities |
ISBN | : 3833495375 |
The Libor Market Model and its several extensions can be seen as state of the art in interest rate modeling. However, due to the ever increasing complexity of interest rate products, the high dimensionality of this approach starts to reach its limits from the computational side. This book is mainly concerned with a class of Markovian Yield Curve Models which try to overcome that disadvantage as they enable a low-dimensional deterministic and fast PDE valuation. The objective of this book is thereby threefold: - To illuminate in a compact way the connection between stochastic processes and partial differential equations as well as review the key features of arbitrage-free pricing. - To embed the here analyzed Markovian model class into the entire framework of interest rate models. - To present and implement robust numerical schemes, which enable an efficient computational treatment of risk-neutral product valuation by using PDE methods.
Author | : Antoon André Jean Pelsser |
Publisher | : |
Total Pages | : 179 |
Release | : 1996 |
Genre | : |
ISBN | : |
Author | : J Hamish M Darbyshire |
Publisher | : Aitch & Dee Limited |
Total Pages | : 0 |
Release | : 2022-08-07 |
Genre | : |
ISBN | : 9780995455535 |
The most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.
Author | : Amir Sadr |
Publisher | : John Wiley & Sons |
Total Pages | : 276 |
Release | : 2009-09-09 |
Genre | : Business & Economics |
ISBN | : 0470443944 |
An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.
Author | : You-lan Zhu |
Publisher | : Springer Science & Business Media |
Total Pages | : 522 |
Release | : 2013-03-09 |
Genre | : Mathematics |
ISBN | : 1475739389 |
This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.
Author | : Sanjay K. Nawalkha |
Publisher | : John Wiley & Sons |
Total Pages | : 429 |
Release | : 2005-05-31 |
Genre | : Business & Economics |
ISBN | : 0471737445 |
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Author | : Mark Britten-Jones |
Publisher | : Elsevier |
Total Pages | : 179 |
Release | : 1998-10-15 |
Genre | : Business & Economics |
ISBN | : 0080506542 |
Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance. A comprehensive and accessible explanation of underlying theory, and its practical application Case studies and worked examples from around the world's capital markets How to use spreadsheet modelling in fixed income and interest rate derivative valuation
Author | : Markus Bouziane |
Publisher | : Springer |
Total Pages | : 193 |
Release | : 2009-09-03 |
Genre | : Business & Economics |
ISBN | : 9783540846390 |
The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.