springer finance-Efficient Methods for Valuing Interest Rate Derivatives

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Introduction.- Arbitrage, Martingales and Numerical Methods.-
Part I - Spot and Forward Rate Models:
Spot and Forward Rate Models.-
Fundamental Solutions and the Forward-Risk-Adjusted Measure.-
The Hull-White Model.-
The Squared Gaussian Model.-
An Empirical Comparison of One-Factor Models.-
Part II - Market Rate Models:
Libor and Swap Market Models.-
Markov-Functional Models.-
An Empirical Comparison of Market Models.-
Convexity Correction.- Extensions and Further Developments.

Content Level ? Professional/practitioner
Keywords ? Mathematical finance - Stochastic modelling
Related subjects ? Quantitative Finance

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏5 回帖

关键词：derivatives Derivative EFFICIENT Springer interest

适合金融数学硕士阅读，如果你有很好的金融数学功底加上偏微分方程的功底应该能够很好的消化这本书。
其中涉及傅里叶变换结偏微分方程，蒙特卡洛方法模拟（更多的呈现是结果，适合有编程基础的看。）

十分感谢 看一看

价格有些贵吧

QQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQ

多谢分享！

thanks

thanks

点赞感谢分享