Interest Rate Management
by Rudi Zagst
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List Price: $99.00
Our Price: $60.56
Your Save: $ 38.44 ( 39% )
Availability: Usually ships in 24 hours
Manufacturer: Springer
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Average Customer Rating: [ not yet rated ]
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Binding: Hardcover
Dewey Decimal Number: 332.82015195
EAN: 9783540675945
ISBN: 3540675949
Label: Springer
Number Of Items: 1
Number Of Pages: 343
Publication Date: 2002-06-10
Publisher: Springer
Studio: Springer
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Editorial Reviews:
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This book adresses the needs of both researchers and practitioners. It combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about financial markets. The first part of the book is an exposition of advanced stochastic calculus. It defines the theoretical framework for the pricing and hedging of contingent claims with a special focus on interest rate markets. The second part covers a selection of short and long-term oriented risk measures as well as their application to the risk management of interest-rate portfolios. Interesting and comprehensive case studies are provided to illustrate the theoretical concepts.
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