Efficient methods for valuing interest rate derivatives

Submitted on 29th July 2015

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.

 

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Source
Springer
Author
Antoon Pelseer
Date Published
Resource Type
academic