The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.
- ISBN13 9789810227517
- Publish Date 4 October 1996 (first published 1 January 1996)
- Publish Status Active
- Publish Country SG
- Imprint World Scientific Publishing Co Pte Ltd
- Format Hardcover
- Pages 176
- Language English
- URL https://worldscientific.com/worldscibooks/10.1142/3182