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3 of 4 people found the following review helpful:
5.0 out of 5 stars
The book is too short, 2nd edition coming?,
By lichen@lehman.com (New York) - See all my reviews
This review is from: Understanding And Managing Interest Rate Risks (Series in Mathematical Finance, V. 1) (Paperback)
I like this book. It provides a good summary of a complete list of the term structure models. Best of all, it contains a consistent methodology for deriving interest rate derivatives. The forward measure technique is explained very well. However, symbols are not clear and later chapters are too "concise". I would like to see more numerical examples. Also, an inclusion of numerical methods should be helpful.
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Understanding And Managing Interest Rate Risks (Series in Mathematical Finance, V. 1) by Ren-Raw Chen (Paperback - October 4, 1996)
$47.00
In Stock | |
 
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