Efficient Methods for Valuing Interest Rate Derivatives

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This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.

Efficient Methods for Valuing Interest Rate Derivatives 2010, Springer London Ltd, England

ISBN-13: 9781849968614

Trade paperback

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Efficient Methods for Valuing Interest Rate Derivatives 2000, Springer, London, England

ISBN-13: 9781852333041

2000 edition

Hardcover

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