Efficient Methods for Valuing Interest Rate Derivatives (Hardcover)

~ (Author)
Key Phrases: numeraire discount bond, rich analytical structure, market rate models, Monte Carlo, Change of Numeraire Theorem, Girsanov's Theorem (more...)

Editorial Reviews

Product Description

Efficient Methods for Valuing Interest Rate Derivatives 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 the practical issues, such as the implementation of models, and model selection. Aimed at people with a solid quantitative background, this book will be of particular interest to risk managers, interest rate derivative traders, quantitative researchers, portfolio and fund managers, and students of mathematics and economics, but it will also prove invaluable to anyone looking for a good overview of interest rate derivative modelling.

Product Details

• Hardcover: 172 pages
• Publisher: Springer; 1 edition (September 6, 2000)
• Language: English
• ISBN-10: 1852333049
• ISBN-13: 978-1852333041
• Product Dimensions: 9.3 x 6.1 x 0.7 inches
• Shipping Weight: 15.5 ounces (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (2 customer reviews)
• Amazon.com Sales Rank: #524,513 in Books (See Bestsellers in Books)

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Customer Reviews

Most Helpful Customer Reviews

11 of 11 people found the following review helpful:

5.0 out of 5 stars Begin your BGM, Libor & Swap market model journey here., March 1, 2003

By	J S Dhaliwal (London United Kingdom) - See all my reviews

If you want a concise, clearly written and excellently explained introduction to the cutting edge interest rate models used in dealing rooms today. Look no further. With an elementary stochastic calculus background from Rennie & Baxter, this book is very readable, even on a crowded train! For those who want more details & case studies, have Interest Rate Models by Brigo & Mercurio as a companion text. With useful tips on Libor & swap market model implementation, and a whole chapter devoted to convexity correction. One of the best texts on the subject I have read.

10 of 10 people found the following review helpful:

5.0 out of 5 stars Finally... a road map to interest rate models!!!, August 7, 2003

By A Customer

I had a strong background in equity derivative models but found the leap to interest rate models difficult. What are the relationships between short rates, forward rates, and term structure? How do assumptions translate into restrictions on our ability to model the "stylized facts" of interest rates? How are assumption violations "corrected" by practitioners?

This book answers all of these questions in a straightforward yet rigorous manner. Explanations are supplemented with simple examples.

After reading this book, I had the roadmap and analytical context I needed to tackle implementation focused books like Brigo and Mercurio.

As a bonus, this book provides a very nice summary of major valuation tools. (Monte Carlo simulation of martingale processes, development of pricing PDE via Feynman-Kac, development of fundamental solutions, etc.)