This book 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 a host of practical issues.
- ISBN10 1447138899
- ISBN13 9781447138891
- Publish Date 15 January 2014 (first published 31 July 2000)
- Publish Status Withdrawn
- Out of Print 18 October 2014
- Publish Country US
- Imprint Springer
- Format Paperback (US Trade)
- Pages 188
- Language English