| 청구기호 |
HG6024.5 .A64 2010 |
| 형태사항 |
3 v. (1154 p.) : ill. ; 24 cm.
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| 언어 |
English |
| 서지주기 |
Includes bibliographical references and index.
|
| 내용 |
v. 1. Foundations and vanilla models: Introduction to arbitrage pricing theory ; Finite difference methods ; Monte Carlo methods ; Fundamentals of interest rate modeling ; Fixed income instruments ; Yield curve construction and risk management ; Vanilla models with local volatility ; Vanilla Models with stochastic volatility I ; Vanilla models with stochastic volatility II -- v. 2. Term structure models: One-factor short rate models I ; One-factor short rate models II ; Multi-factor short rate models ; The quasi-Gaussian model ; The Libor market model I ; The Libor market model II -- v. 3. Products and risk management: Single-rate vanilla derivatives ; Multi-rate vanilla derivatives ; Callable Libor exotics ; Bermudan swaptions ; TARNs, volatility swaps, and other derivatives ; Out-of-model adjustments ; Introduction to risk management ; Payoff smoothing and related methods ; Pathwise differentiation ; Importance sampling and control variates ; Vegas in Libor market models -- Appendix: Markovian projection.
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| 주제 |
Interest rates --Mathematical models.
Interest rate futures --Mathematical models.
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| ISBN |
0984422102 (v. 1)
9780984422104 (v. 1)
0984422110 (v. 2)
9780984422111 (v. 2)
0984422129 (v. 3)
9780984422128 (v. 3)
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