Titlebook: Efficient Methods for Valuing Interest Rate Derivatives; Antoon Pelsser Book 2000 Springer-Verlag London 2000 Portfolio.Stochastic modelli

結(jié)果

https://doi.org/10.1007/978-3-322-97076-3and experience on working with interest rate models and how to adapt and extend these models for various purposes. Note that this final chapter is written in the “I” form to emphasise the fact that I express my personal views here. I feel this is necessary, as the practical implementation of pricing

Baffle

Der Europarat und Russland 1992 – 2006Since the opening of the first options exchange in Chicago in 1973, the financial world has witnessed an explosive growth in the trading of derivative securities. Since that time, exchanges where futures and options can be traded have been opened all over the world and the volume of contracts traded worldwide has grown enormously.

inchoate

After the analysis in Chapter 5 of the Hull-White model, where the spot interest rate is a linear function of the underlying process, we turn our attention to a model where the spot interest rate is a quadratic function of the underlying process..

監(jiān)禁

Temporal-Lobe

implore

Factual

itinerary

極大的痛苦

An Empirical Comparison of One-Factor Modelsown how this theory can be used for valuing interest rate derivatives. We analysed in Chapters 5 and 6 a linear and a squared normal model which both have a rich analytical structure. However, only little attention has been devoted to the empirical validity of these models. In this chapter we address this problem.

Hyperlipidemia

Convexity Correctionicated since one needs to keep track of many stochastic processes (e.g. all . rates) simultaneously. For the example products described in those chapters, such a level of complexity is indeed required.