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

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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

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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

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