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Interest rate dynamics, derivatives pricing, and risk management /
by Chen, Lin
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Series:
Lecture notes in economics and mathematical systems ;
. 435
Published by :
Springer-Verlag,
(Berlin : )
Physical details: XII, 149 p. : ill. ; 24 cm.
Subject(s):
Derivate securities-prices-mathematical models
Year : 1996
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| Item type | Location | Call Number | Copy | Status | Notes | Date Due |
|---|---|---|---|---|---|---|
| Books | Istituto di Ingegneria Biomedica | HG6024.A3C4853 (Browse Shelf) | 1 | Available | Gombani |
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Contents: A Three-Factor Model of the Term Structure of Interest Rates.- Pricing Interest Rate Derivatives.- Pricing Exotic Options.- Fitting to a Given Term Structure. - A Discrete-Time Version of the Model.- Estimation of the Model.- Managing Interest Rate Risk.- Extensions of the Model.- Concluding Remarks.
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