[BNP Paribas] Inflation Linked Bond Markets - 2009 Real Rate & Curve Modeling.pdf 390.68 kB [BNP Paribas] Produits Derives - Change, Taux et Actions.pdf 2.17 MB. INTEREST RATES AND FX MODELS 5. Short rate models Andrew Lesniewski Courant Institute of Mathematical Sciences New York University New York. The real challenge in modeling interest rates is the existence of a term structure of interest rates embodied in the shape of the forward curve. Fixed income in.
The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. Volume I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing.
The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.
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