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This book 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 a host of practical issues.
- Sales Rank: #3659184 in Books
- Published on: 2010-09-02
- Original language: English
- Number of items: 1
- Dimensions: 9.25" h x .42" w x 6.10" l, .59 pounds
- Binding: Paperback
- 172 pages
Most helpful customer reviews
11 of 11 people found the following review helpful.
Finally... a road map to interest rate models!!!
By A Customer
I had a strong background in equity derivative models but found the leap to interest rate models difficult. What are the relationships between short rates, forward rates, and term structure? How do assumptions translate into restrictions on our ability to model the "stylized facts" of interest rates? How are assumption violations "corrected" by practitioners?
This book answers all of these questions in a straightforward yet rigorous manner. Explanations are supplemented with simple examples.
After reading this book, I had the roadmap and analytical context I needed to tackle implementation focused books like Brigo and Mercurio.
As a bonus, this book provides a very nice summary of major valuation tools. (Monte Carlo simulation of martingale processes, development of pricing PDE via Feynman-Kac, development of fundamental solutions, etc.)
12 of 12 people found the following review helpful.
Begin your BGM, Libor & Swap market model journey here.
By J S Dhaliwal
If you want a concise, clearly written and excellently explained introduction to the cutting edge interest rate models used in dealing rooms today. Look no further. With an elementary stochastic calculus background from Rennie & Baxter, this book is very readable, even on a crowded train! For those who want more details & case studies, have Interest Rate Models by Brigo & Mercurio as a companion text. With useful tips on Libor & swap market model implementation, and a whole chapter devoted to convexity correction. One of the best texts on the subject I have read.
2 of 2 people found the following review helpful.
Short and sweet
By Fabrice Rouah
Not a large overview of interest rate modeling, such as the book by Brigo and Mercurio, but a great buy nonetheless. It's very clearly written and intuitive, and I learned a lot from it. Great job.
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