Efficient Methods For Valuing Interest Rate Derivatives
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Efficient Methods For Valuing Interest Rate Derivatives
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Author : Antoon Pelsser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Efficient Methods For Valuing Interest Rate Derivatives written by Antoon Pelsser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
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.
Efficient Methods For Valuing Interest Rates Derivatives
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Author :
language : en
Publisher:
Release Date : 2000
Efficient Methods For Valuing Interest Rates Derivatives written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Derivative securities categories.
Pde Valuation Of Interest Rate Derivatives
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Author : Peter Kohl-Landgraf
language : en
Publisher: BoD – Books on Demand
Release Date : 2007
Pde Valuation Of Interest Rate Derivatives written by Peter Kohl-Landgraf and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Derivative securities categories.
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.
Efficient Methods For Valuing And Managing Interest Rate And Other Derivative Securities
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Author : Antoon André Jean Pelsser
language : en
Publisher:
Release Date : 1996
Efficient Methods For Valuing And Managing Interest Rate And Other Derivative Securities written by Antoon André Jean Pelsser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Efficient And Generic Methods For Pricing Exotic Interest Rate Derivatives Including Callable Exotics
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Author : Christopher J. Beveridge
language : en
Publisher:
Release Date : 2011
Efficient And Generic Methods For Pricing Exotic Interest Rate Derivatives Including Callable Exotics written by Christopher J. Beveridge and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Convertible bonds categories.
Pricing And Trading Interest Rate Derivatives
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Author : J Hamish M Darbyshire
language : en
Publisher: Aitch & Dee Limited
Release Date : 2022-08-07
Pricing And Trading Interest Rate Derivatives written by J Hamish M Darbyshire and has been published by Aitch & Dee Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-07 with categories.
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.
Derivative Securities And Difference Methods
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Author : You-lan Zhu
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Derivative Securities And Difference Methods written by You-lan Zhu and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
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.
Interest Rate Swaps And Their Derivatives
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Author : Amir Sadr
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-09
Interest Rate Swaps And Their Derivatives written by Amir Sadr and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-09 with Business & Economics categories.
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.
Valuation In A World Of Cva Dva And Fva A Tutorial On Debt Securities And Interest Rate Derivatives
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Author : Smith Donald J
language : en
Publisher: #N/A
Release Date : 2017-07-20
Valuation In A World Of Cva Dva And Fva A Tutorial On Debt Securities And Interest Rate Derivatives written by Smith Donald J and has been published by #N/A this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-20 with Business & Economics categories.
CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation adjustments, have become widely used by major banks since the financial crisis. This book aims to bridge the gap between the highly complex and mathematical models used by these banks to adjust the value of debt securities and interest rate derivatives, and the end users of the valuations, for example, accountants, auditors, and analysts. The book, which is essentially a tutorial, demonstrates the types of models that are used using binomial trees that are featured in the CFA® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.
Fixed Income And Interest Rate Derivative Analysis
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Author : Mark Britten-Jones
language : en
Publisher: Elsevier
Release Date : 1998-10-15
Fixed Income And Interest Rate Derivative Analysis written by Mark Britten-Jones and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-10-15 with Business & Economics categories.
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