Interest Rate Derivatives Год выпуска: 2012Автор: Henry Obeng Tawiah and Peterson Owusu JuniorИздательство: LAP Lambert Academic PublishingСтраниц: 60ISBN: 9783659253447Описание The Heath–Jarrow–Morton is used for modelling fixed income markets and has closed form solutions for specific volatilities. The known methods are different such that the approximation of the integral arbitrage-free drift is constructed using Euler-type approach schemes discretization. A Java applet is developed to price a caplet using a different numerical approach based on a functional backward Kolmogorov equation with two proportional volatility models. Students pursuing financial engineering and interest rate derivative traders can use this book as a manual for pricing instruments, specifically ,caplets and floorlets.
Похожие книги
John J. Stephens. Managing Interest Rate Risk : Using Financial Derivatives (Institute of Internal Auditors Risk Management Series). – М.: , 0. – 0 с. Frank J. Fabozzi. Measuring and Controlling Interest Rate Risk (Frank J. Fabozzi Series). – М.: , 0. – 0 с. Damiano Brigo, Fabio Mercurio. Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance). – М.: Springer, 2006. – 982 с. Andrew J. G. Cairns. Interest Rate Models: An Introduction. – М.: Princeton University Press, 2004. – 288 с. Mary S. Ludwig. Understanding Interest Rate Swaps. – М.: , 0. – 0 с. Simona Svoboda. Interest Rate Modelling (Finance and Capital Markets Series). – М.: , 0. – 0 с. Les Clewlow, Chris Strickland. Implementing Derivative Models. – М.: John Wiley and Sons, Ltd, 1998. – 318 с. Satyajit Das. Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library) (Wiley Finance). – М.: Wiley, 2005. – 1200 с. John Schoenmakers, John G. M. Schoenmakers. Robust Libor Modelling and Pricing of Derivative Products. – М.: , 2004. – 224 с. Rafael De Santiago. Derivatives Markets with Stochastic Volatility: Interest-Rate Derivatives and Value-at-Risk. – М.: , 2008. – 180 с. Christine Helliar. Interest Rate Risk Management. – М.: CIMA Publishing, 2005. – 112 с. Sanjay K. Nawalkha. Interest Rate Risk Modeling. – М.: , 2005. – 396 с. Amir Sadr. Interest Rate Swaps and Their Derivatives. – М.: , 2009. – 248 с. Mark Britten-Jones. Fixed Income and Interest Rate Derivative Analysis. – М.: , 2010. – 220 с. Henry Obeng Tawiah and Peterson Owusu Junior. Interest Rate Derivatives. – М.: LAP Lambert Academic Publishing, 2012. – 60 с. Zbynek Stork. Term Structure of Interest Rates. – М.: LAP Lambert Academic Publishing, 2014. – 124 с. Stan Maes. Modeling the Term Structure of Interest Rates Across Countries. – М.: LAP Lambert Academic Publishing, 2009. – 264 с. Образцы работ
Задайте свой вопрос по вашей теме
Контакты
Поделиться
Мы в социальных сетях
Реклама
Отзывы
аня Добрый вечер, Юлия!!! хотелось бы Вас поблагодарить, за диплом после вашего сопровождения!!!спасибо Вам огромное!!!без, Вас я бы его не написала, спасибо за все исправления и за долгую и крапотливую работу!с Вами очень было приятно работать вы лучшая!!ОГРОМНОЕ СПАСИБО!защитилась я на 5!благодаорю!
