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Jeroen F. J. De Munnik
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دانلود کتاب The valuation of interest rate derivative securities
by Jeroen F. J. De Munnik|
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عنوان فارسی: ارزیابی اوراق بهادار مشتقه نرخ بهره |
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جزییات کتاب
The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, stress the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: a detailed overview and classification of the different approaches to value interest rate dependent securities; a comparison of the numerical approaches to value complex securities; and an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.
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