Efficient Methods for Valuing Interest Rate Derivatives

Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. 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 competi...

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Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. 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 Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection.

Aimed at people with 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.

Front Matter Pages i-xii
I Introduction
Introduction Pages 1-4
IIArbitrage, Martingales and Numerical Methods
Arbitrage, Martingales and Numerical Methods Pages 5-20
III Spot and Forward Rate Models
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Front Matter Pages i-xii
I Introduction
Introduction Pages 1-4
IIArbitrage, Martingales and Numerical Methods
Arbitrage, Martingales and Numerical Methods Pages 5-20
III Spot and Forward Rate Models
Front Matter Pages 21-21
Spot and Forward Rate Models Pages 23-30
Fundamental Solutions and the Forward-Risk-Adjusted Measure Pages 31-43
The Hull-White Model Pages 45-58
The Squared Gaussian Model Pages 59-70
An Empirical Comparison of One-Factor Models Pages 71-84
IV Market Rate Models
Front Matter Pages 85-85
LIBOR and Swap Market Models Pages 87-107
Markov-Functional Models Pages 109-129
An Empirical Comparison of Market Models Pages 131-137
Convexity Correction Pages 139-157
Extensions and Further Developments Pages 159-162
Back Matter Pages 163-172
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