Interest Rate Modeling: Post-Crisis Challenges and Approaches

Nonfiction, Science & Nature, Mathematics, Game Theory, Applied, Business & Finance
Cover of the book Interest Rate Modeling: Post-Crisis Challenges and Approaches by Zorana Grbac, Wolfgang Runggaldier, Springer International Publishing
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Author: Zorana Grbac, Wolfgang Runggaldier ISBN: 9783319253855
Publisher: Springer International Publishing Publication: December 26, 2015
Imprint: Springer Language: English
Author: Zorana Grbac, Wolfgang Runggaldier
ISBN: 9783319253855
Publisher: Springer International Publishing
Publication: December 26, 2015
Imprint: Springer
Language: English

Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice.  The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.

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Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice.  The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.

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