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Interest-Rate Management

Name: Interest-Rate Management
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 01567426
Price: 114.45 EUR
Availability: InStock
Author: Rudi Zagst
ISBN: 9783540675945

Rudi Zagst

Língua

Inglês

Livro Livro de capa dura

Código Libristo: 01567426

Editoras Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, abril 2002

This book adresses the needs of both researchers and practitioners. It combines a rigorous overview... Descrição completa

Código Libristo: 01567426

277 b

114.45 €

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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.