Modern pricing of interest-rate derivatives

the LIBOR market model and beyond

Descripción: In recent years, interest-rate modelling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programmes have often developed with little constructive ...

The ART of risk management

alternative risk transfer, capital structure, and the convergence of insurance and capital markets

Learn about today's hottest new risk management tools One of the hottest areas of finance today, alternative risk transfer, or ART, refers to the use of various insurance products to manage market, credit, operational, legal, environmental, and other forms of risk. As the capital ...

Contributions to financial econometrics

theoretical and practical issues

This volume presents five survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments ...

Practical quantitative investment management with derivatives

The book is divided into three sections plus detailed appendices and glossary and accompanying CD-ROM. The first section provides a description of the investment management process providing a context for quantitative techniques. Section 2 addresses different quantitative techniques as applied to investment management. Each chapter ...

The mathematics of financial derivatives

an student introduction

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel ...