Interest rate models theory and practice
This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.
XXXV, 518 S. graph. Darst. 25 cm
9783540417729, 3540417729
248284741
I Basic Definitions and No Arbitrage.- II From Short Rate Models to HJM.- III Market Models.- IV The Volatility Smile.- V Examples of Market Payoffs.- VI Inflation.- VII Credit.- VIII Appendices
Literaturverz. S. 501 - 508