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Interest-Rate Management

  • Rudi Zagst

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages i-xv
  2. Introduction

    1. Rudi Zagst
      Pages 1-5
  3. Mathematical Finance Background

    1. Front Matter
      Pages 7-7
    2. Rudi Zagst
      Pages 9-41
    3. Rudi Zagst
      Pages 43-92
  4. Modelling and Pricing in Interest-Rate Markets

    1. Front Matter
      Pages 93-93
    2. Rudi Zagst
      Pages 95-156
    3. Rudi Zagst
      Pages 157-224
  5. Measuring and Managing Interest-Rate Risk

    1. Front Matter
      Pages 225-225
    2. Rudi Zagst
      Pages 227-271
    3. Rudi Zagst
      Pages 273-320
    4. Rudi Zagst
      Pages 321-324
  6. Back Matter
    Pages 325-341

About this book

Introduction

The complexity of new financial products as well as the ever-increasing importance of derivative securities for financial risk and portfolio management have made mathematical pricing models and comprehensive risk management tools increasingly important.
This book adresses the needs of both researchers and practitioners. It combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest rate derivatives. It may also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about financial markets.
The first part of the book is an exposition of advanced stochastic calculus. It defines the theoretical framework for the pricing and hedging of contingent claims with a special focus on interest rate markets. The second part is a mathematically biased market-oriented description of the most famous interest rate models and a variety of interest rate derivatives. It covers a selection of short and long-term oriented risk measures as well as their application to the risk management of interest rate portfolios. Interesting and comprehensive case studies based on real market data are provided to illustrate the theoretical concepts and to illuminate their practical usefulness.

Keywords

Finance Hedging Martingale Portfolio Portfolio Management Stochastic Processes Stochastic calculus modeling stochastic process

Authors and affiliations

  • Rudi Zagst
    • 1
    • 2
  1. 1.RiskLab GmbHMünchenGermany
  2. 2.Zentrum MathematikTechnische Universität MünchenMünchenGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-12106-1
  • Copyright Information Springer-Verlag Berlin Heidelberg 2002
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-08708-0
  • Online ISBN 978-3-662-12106-1
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • Buy this book on publisher's site
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