Interest Rate Modeling

Un libro in lingua di Lixin Wu edito da Chapman & Hall, 2009

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In describing the practice of interest rate modeling, Wu (Hong Kong U. of Science and Technology, China) treats it as a three-dimensional object of finance, mathematics, and computations. He therefore introduces all models with financial and economical justification, models options using the martingale approach, and handles option evaluations with fine numerical methods. He follows a top-down approach, first establishing the framework for no-arbitrage models and then discussing the representative Hull-White model, the market model, and affine models. Annotation ©2009 Book News, Inc., Portland, OR (booknews.com)

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