The Valuation of Interest Rate Derivative Securities
The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: * a detailed overview and classification of the different approaches to value interest rate dependent securities * a comparison of the numerical approaches to value complex securities * an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.
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The Valuation of Interest Rate Derivative Securities
The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: * a detailed overview and classification of the different approaches to value interest rate dependent securities * a comparison of the numerical approaches to value complex securities * an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.
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The Valuation of Interest Rate Derivative Securities
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The Valuation of Interest Rate Derivative Securities
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36.99
In Stock
Product Details
ISBN-13: | 9781134775910 |
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Publisher: | Taylor & Francis |
Publication date: | 10/18/2005 |
Series: | Routledge New Advances in Economics |
Sold by: | Barnes & Noble |
Format: | eBook |
Pages: | 200 |
File size: | 6 MB |
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