© 2015

Interest Rate Modeling: Post-Crisis Challenges and Approaches


Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Zorana Grbac, Wolfgang J. Runggaldier
    Pages 1-33
  3. Zorana Grbac, Wolfgang J. Runggaldier
    Pages 35-76
  4. Zorana Grbac, Wolfgang J. Runggaldier
    Pages 77-114
  5. Zorana Grbac, Wolfgang J. Runggaldier
    Pages 115-135
  6. Back Matter
    Pages 137-140

About this book


Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice.  The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.


91G30;91G20;91G40;60H30 Affine term structure methodology Clean valuation Interest rate models and derivatives Multicurve models Post-crisis interbank risk

Authors and affiliations

  1. 1.LPMAUniversité Paris–Diderot (Paris 7)Paris Cedex 13France
  2. 2.Dept. of MathematicsUniversity of PadovaPadovaItaly

Bibliographic information

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