In the last 12 months, all leading financial institutions have set up hybrid derivatives desks in the view that they will shortly become as lucrative as standard interest-rate derivatives. This book fills a large gap in the market by looking at the state-of-the-art in modeling and pricing hybrid derivatives. Leading practitioner Christopher Hunter looks at the complex subject in its entirety, from a description of the market and its assets, which include interest rates, bonds, foreign exchange, credit and commodities and then looks at the mathematical concepts behind them, including modeling with Monte Carlo and Copulae.
- ISBN10 0470026618
- ISBN13 9780470026618
- Publish Date 19 May 2006
- Publish Status Active
- Publish Country GB
- Publisher John Wiley and Sons Ltd
- Imprint John Wiley & Sons Ltd
- Format Hardcover
- Pages 448
- Language English