Efficient Methods for Valuing Interest Rate Derivatives
Author: Antoon Pelsser
List Price: $74.95
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ISBN: 1852333049
Publisher: Springer Verlag (06 September, 2000)
Sales Rank: 264,175
Average Customer Rating: 5 out of 5
Customer Reviews
Rating: 5 out of 5
Finally... a road map to interest rate models!!!
I had a strong background in equity derivative models but found the leap to interest rate models difficult. What are the relationships between short rates, forward rates, and term structure? How do assumptions translate into restrictions on our ability to model the "stylized facts" of interest rates? How are assumption violations "corrected" by practitioners?This book answers all of these questions in a straightforward yet rigorous manner. Explanations are supplemented with simple examples.
After reading this book, I had the roadmap and analytical context I needed to tackle implementation focused books like Brigo and Mercurio.
As a bonus, this book provides a very nice summary of major valuation tools. (Monte Carlo simulation of martingale processes, development of pricing PDE via Feynman-Kac, development of fundamental solutions, etc.)
Rating: 5 out of 5
Begin your BGM, Libor & Swap market model journey here.
If you want a concise, clearly written and excellently explained introduction to the cutting edge interest rate models used in dealing rooms today. Look no further. With an elementary stochastic calculus background from Rennie & Baxter, this book is very readable, even on a crowded train! For those who want more details & case studies, have Interest Rate Models by Brigo & Mercurio as a companion text. With useful tips on Libor & swap market model implementation, and a whole chapter devoted to convexity correction. One of the best texts on the subject I have read. Similar Products
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