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Interest Rate Modeling. Volume 3: Products and Risk Management

Наука и познание >> Экономика





Разместил: robotuz

6-05-2012, 00:22

Просмотров: 665





 Interest Rate Modeling. Volume 3: Products and Risk Management



Автор:Leif B.G. Andersen
Название: Interest Rate Modeling. Volume 3: Products and Risk Management
Издательство:Atlantic Financial Press
Год: 2010
Кол-во страниц: 548
Формат: Pdf
Размер: 10 MB
Язык: Английский

Volume I. Foundations and Vanilla Models

Part I. Foundations

* Introduction to Arbitrage Pricing Theory
* Finite Difference Methods
* Monte Carlo Methods
* Fundamentals of Interest Rate Modelling
* Fixed Income Instruments
Part II. Vanilla Models
* Yield Curve Construction and Risk Management
* Vanilla Models with Local Volatility
* Vanilla Models with Stochastic Volatility I
* Vanilla Models with Stochastic Volatility II Volume II. Term Structure Models

Part III. Term Structure Models
* One-Factor Short Rate Models I
* One-Factor Short Rate Models II
* Multi-Factor Short Rate Models
* The Quasi-Gaussian Model with Local and Stochastic Volatility
* The Libor Market Model I
* The Libor Market Model IIVolume III. Products and Risk Management

Part IV. Products










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