標題: Titlebook: Efficient Methods for Valuing Interest Rate Derivatives; Antoon Pelsser Book 2000 Springer-Verlag London 2000 Portfolio.Stochastic modelli [打印本頁] 作者: 自由 時間: 2025-3-21 19:17
書目名稱Efficient Methods for Valuing Interest Rate Derivatives影響因子(影響力)
書目名稱Efficient Methods for Valuing Interest Rate Derivatives影響因子(影響力)學科排名
書目名稱Efficient Methods for Valuing Interest Rate Derivatives網(wǎng)絡公開度
書目名稱Efficient Methods for Valuing Interest Rate Derivatives網(wǎng)絡公開度學科排名
書目名稱Efficient Methods for Valuing Interest Rate Derivatives被引頻次
書目名稱Efficient Methods for Valuing Interest Rate Derivatives被引頻次學科排名
書目名稱Efficient Methods for Valuing Interest Rate Derivatives年度引用
書目名稱Efficient Methods for Valuing Interest Rate Derivatives年度引用學科排名
書目名稱Efficient Methods for Valuing Interest Rate Derivatives讀者反饋
書目名稱Efficient Methods for Valuing Interest Rate Derivatives讀者反饋學科排名
作者: Biofeedback 時間: 2025-3-22 00:00 作者: esoteric 時間: 2025-3-22 01:58 作者: 獨白 時間: 2025-3-22 08:20 作者: 努力趕上 時間: 2025-3-22 12:05
Book 2000erivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author‘s focus is not only on the mathematics: Antoon Pels作者: 改革運動 時間: 2025-3-22 13:47 作者: 改革運動 時間: 2025-3-22 17:16 作者: 聯(lián)合 時間: 2025-3-23 00:56 作者: 深陷 時間: 2025-3-23 03:19
Book 2000th a solid quantitative background, this book will be of particular interest to risk managers, interest rate derivative traders, quantitative researchers, portfolio and fund managers, and students of mathematics and economics, but it will also prove invaluable to anyone looking for a good overview of interest rate derivative modelling.作者: GAVEL 時間: 2025-3-23 07:23 作者: restrain 時間: 2025-3-23 09:46
Springer Financehttp://image.papertrans.cn/e/image/302986.jpg作者: 織物 時間: 2025-3-23 13:59
https://doi.org/10.1007/978-3-642-79467-4gative price. The existence of an instrument which would have non-negative payoffs and a negative price is called an .. If arbitrage opportunities would exist, it would be a means for investors to generate money without any initial investment. Of course, many investors would try to exploit the arbit作者: 搏斗 時間: 2025-3-23 19:36 作者: infarct 時間: 2025-3-23 23:03 作者: 勉強 時間: 2025-3-24 03:00 作者: 飾帶 時間: 2025-3-24 08:59 作者: 礦石 時間: 2025-3-24 12:52
https://doi.org/10.1007/978-3-476-03336-9cally convenient choice for the spot interest rate leads to models which are particularly tractable. However, since these models are set up in terms of a mathematically convenient rate that does not exist in practice, valuation formula for real-world instruments like caps, floors and swaptions tend 作者: 離開就切除 時間: 2025-3-24 18:48 作者: 債務 時間: 2025-3-24 22:25 作者: 廢止 時間: 2025-3-24 23:54 作者: 結果 時間: 2025-3-25 03:35
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作者: Baffle 時間: 2025-3-25 07:46
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.作者: inchoate 時間: 2025-3-25 11:54
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..作者: 監(jiān)禁 時間: 2025-3-25 16:20 作者: Temporal-Lobe 時間: 2025-3-25 21:07 作者: implore 時間: 2025-3-26 01:42 作者: Factual 時間: 2025-3-26 07:05 作者: itinerary 時間: 2025-3-26 10:22 作者: 極大的痛苦 時間: 2025-3-26 16:17
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.作者: Hyperlipidemia 時間: 2025-3-26 19:19
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.作者: Charitable 時間: 2025-3-26 21:15
Extensions and Further Developmentsand 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 models is as much an art as it is pure science.作者: 慢跑鞋 時間: 2025-3-27 04:09 作者: 支柱 時間: 2025-3-27 09:05
978-1-84996-861-4Springer-Verlag London 2000作者: 相信 時間: 2025-3-27 10:30 作者: 開頭 時間: 2025-3-27 16:49 作者: sorbitol 時間: 2025-3-27 20:09
Der Ewige Kreislauf des Weltallsver, interest rates play a double role in interest rate models: they determine the amount of discounting, and they determine the payoff of the security. This implies that the discounting term and the payoff term are two correlated stochastic variables, which makes the evaluation of the expectation quite difficult.作者: Brain-Imaging 時間: 2025-3-28 01:31
hapter 4 we proved that only normal models where the spot interest rate is a linear or quadratic function of the underlying process . have normally distributed fundamental solutions. Hence, only these models are expected to have a rich analytical structure.作者: 做作 時間: 2025-3-28 03:51
https://doi.org/10.1007/978-3-662-41237-4own 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.作者: Muscularis 時間: 2025-3-28 07:13 作者: NAVEN 時間: 2025-3-28 14:02 作者: Extort 時間: 2025-3-28 15:23 作者: 責難 時間: 2025-3-28 22:41 作者: 小故事 時間: 2025-3-28 23:17 作者: Adj異類的 時間: 2025-3-29 04:57 作者: 植物群 時間: 2025-3-29 10:21 作者: ULCER 時間: 2025-3-29 14:07 作者: 熄滅 時間: 2025-3-29 17:07 作者: Yag-Capsulotomy 時間: 2025-3-29 21:31
The Hull-White Modelhapter 4 we proved that only normal models where the spot interest rate is a linear or quadratic function of the underlying process . have normally distributed fundamental solutions. Hence, only these models are expected to have a rich analytical structure.作者: AMOR 時間: 2025-3-30 00:39
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 addres作者: 多嘴 時間: 2025-3-30 04:57
LIBOR and Swap Market Modelscally convenient choice for the spot interest rate leads to models which are particularly tractable. However, since these models are set up in terms of a mathematically convenient rate that does not exist in practice, valuation formula for real-world instruments like caps, floors and swaptions tend 作者: Gobble 時間: 2025-3-30 09:16 作者: 未完成 時間: 2025-3-30 15:10 作者: 組成 時間: 2025-3-30 20:20
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.
