Interest Rate Modeling: Post-Crisis Challenges and Approaches
Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new deve
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Zorana Grbac Wolfgang J. Runggaldier
Interest Rate Modeling: PostCrisis Challenges and Approaches 123
SpringerBriefs in Quantitative Finance Series editors Peter Bank, Berlin, Germany Pauline Barrieu, London, UK Lorenzo Bergomi, Paris, France Rama Cont, London, UK Jakša Cvitanic, Nice Cedex 3, France Matheus R. Grasselli, Toronto, Canada Steven Kou, Singapore, Singapore Mike Ludkowski, Santa Barbara, USA Vladimir Piterbarg, London, UK Nizar Touzi, Palaiseau Cedex, France
More information about this series at http://www.springer.com/series/8784
Zorana Grbac Wolfgang J. Runggaldier •
Interest Rate Modeling: Post-Crisis Challenges and Approaches
123
Zorana Grbac Laboratoire de Probabilités et Modèles Aléatoires Université Paris–Diderot (Paris 7) Paris Cedex 13 France
Wolfgang J. Runggaldier Department of Mathematics University of Padova Padova Italy
ISSN 2192-7006 ISSN 2192-7014 (electronic) SpringerBriefs in Quantitative Finance ISBN 978-3-319-25383-1 ISBN 978-3-319-25385-5 (eBook) DOI 10.1007/978-3-319-25385-5 Library of Congress Control Number: 2015955860 Mathematics Subject Classification (2010): 91G30, 91G20, 91G40, 60H30 Springer Cham Heidelberg New York Dordrecht London © The Author(s) 2015 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper Springer International Publishing AG Switzerland is part of Springer Science+Business Media (www.springer.com)
Preface
The purpose of this book is to provide a bridge between new research results motivated by the financial crisis and classical literature on interest rate modeling. Motivation. The traditional textbooks on interest rate modeling are no longer adequate in a modern context as overviews of the techniques needed for the valuation of interest rate derivatives. In the years following the crisis, the problem of developing new models for interest rate derivatives has attracted significant attention, both from researchers working in financial institutions, as well as researchers working in academ
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