Dynamic Term Structure Modeling

Beschreibung

Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structuremodels I have seen so far, encompassing equilibrium andno-arbitrage models in a new framework, along with the majorsolution techniques using trees, PDE methods, Fourier methods, andapproximations. It is an essential reference for academics andpractitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor,Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics.It is clear, pedagogically impressive, well presented, and to thepoint." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive,up-to-date textbook on modern dynamic term structure modeling. Itis both accessible and rigorous and should be of tremendousinterest to anyone who wants to learn about state-of-the-art fixedincome modeling. It provides many numerical examples that will bevaluable to readers interested in the practical implementations ofthese models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuoustime interest rate models. It serves an important part of thetrilogy, useful for financial engineers to grasp the theoreticalunderpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide toFinancial Modeling

Autor*in

Sanjay K. Nawalkha

Themen in »Dynamic Term Structure Modeling«

Finance & Investments Finanz- u. Anlagewesen Institutional & Corporate Finance Institutionelle Finanzplanung

Stimmen zu »Dynamic Term Structure Modeling«

"This book offers the most comprehensive coverage of term-structuremodels I have seen so far, encompassing equilibrium andno-arbitrage models in a new framework, along with the majorsolution techniques using trees, PDE methods, Fourier methods, andapproximations. It is an essential reference for academics andpractitioners alike." --Sanjiv Ranjan Das, Professor ofFinance, Santa Clara University, California, coeditor, Journal ofDerivatives "Bravo! This is an exhaustive analysis of the yield curvedynamics. It is clear, pedagogically impressive, well presented,and to the point."--Nassim Nicholas Taleb author, DynamicHedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive,up-to-date textbook on modern dynamic term structure modeling. Itis both accessible and rigorous and should be of tremendousinterest to anyone who wants to learn about state-of-the-art fixedincome modeling. It provides many numerical examples that will bevaluable to readers interested in the practical implementations ofthese models."--Pierre Collin-Dufresne, Associate Professor ofFinance, UC Berkeley "The book provides a comprehensive description of the continuoustime interest rate models. It serves an important part of thetrilogy, useful for financial engineers to grasp the theoreticalunderpinnings and the practical implementation."--Thomas S. Y.Ho, PHD, President, Thomas Ho Company, Ltd, coauthor, The OxfordGuide to Financial Modeling
()

Details

Link teilen