Interest rate management

Rudi Zagst - Collection Springer Finance

346 pages, parution le 19/03/2004

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Résumé

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.

Sommaire

Mathematical finance background
Modelling and pricing in interest-rate markets
Measuring and managing interest-rate risk

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Rudi Zagst
Collection	Springer Finance
Parution	19/03/2004
Nb. de pages	346
Format	16 x 24
Couverture	Relié
Poids	649g
Intérieur	Noir et Blanc
EAN13	9783540675945