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This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.
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Editions
2 editions- Hardcover · German · 2007Interest Rate Models - Theory and PracticeSpringer · 981 pages · 9783540221494
- Hardcover · German · 2001Springer · 518 pages · 9783540417729
Modèles mathématiquesTaux d'intérêtTaux intérêtOptions (finances)Évaluation optionVolatilitéModélisation financièreFixation prix