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.