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Interest Rate Modeling: Post-Crisis Challenges and Approaches

  • Zorana Grbac
  • Wolfgang J. Runggaldier

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

Introduction


Keywords

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

Authors and affiliations

  • Zorana Grbac
    • 1
  • Wolfgang J. Runggaldier
    • 2
  1. 1.LPMAUniversité Paris–Diderot (Paris 7)Paris Cedex 13France
  2. 2.Dept. of MathematicsUniversity of PadovaPadovaItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-25385-5
  • Copyright Information The Author(s) 2015
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-25383-1
  • Online ISBN 978-3-319-25385-5
  • Series Print ISSN 2192-7006
  • Series Online ISSN 2192-7014
  • Buy this book on publisher's site
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