© 2000

Efficient Methods for Valuing Interest Rate Derivatives


Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Introduction

    1. Antoon Pelsser
      Pages 1-4
  3. Arbitrage, Martingales and Numerical Methods

  4. Spot and Forward Rate Models

    1. Front Matter
      Pages 21-21
    2. Antoon Pelsser
      Pages 23-30
    3. Antoon Pelsser
      Pages 45-58
    4. Antoon Pelsser
      Pages 59-70
  5. Market Rate Models

    1. Front Matter
      Pages 85-85
    2. Antoon Pelsser
      Pages 87-107
    3. Antoon Pelsser
      Pages 109-129
    4. Antoon Pelsser
      Pages 131-137
    5. Antoon Pelsser
      Pages 139-157
    6. Antoon Pelsser
      Pages 159-162
  6. Back Matter
    Pages 163-172

About this book


Efficient Methods for Valuing Interest Rate Derivatives 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 the practical issues, such as the implementation of models, and model selection.
Aimed at people with a solid quantitative background, this book will be of particular interest to risk managers, interest rate derivative traders, quantitative researchers, portfolio and fund managers, and students of mathematics and economics, but it will also prove invaluable to anyone looking for a good overview of interest rate derivative modelling.


Portfolio Stochastic modelling arbitrage derivatives mathematical finance mathematics modeling

Authors and affiliations

  1. 1.Department of FinanceErasmus UniversityRotterdamThe Netherlands

Bibliographic information

  • Book Title Efficient Methods for Valuing Interest Rate Derivatives
  • Authors Antoon Pelsser
  • Series Title Springer Finance
  • DOI
  • Copyright Information Springer-Verlag London 2000
  • Publisher Name Springer, London
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-1-85233-304-1
  • Softcover ISBN 978-1-84996-861-4
  • eBook ISBN 978-1-4471-3888-4
  • Series ISSN 1616-0533
  • Series E-ISSN 2195-0687
  • Edition Number 1
  • Number of Pages XII, 172
  • Number of Illustrations 3 b/w illustrations, 0 illustrations in colour
  • Topics Quantitative Finance
  • Buy this book on publisher's site
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