Problems And Solutions In Mathematical Finance Volume 3 Pdf

Problems and Solutions in Mathematical Finance Volume III: Interest Rates and Inflation Indexed Derivatives (The Wiley Finance Series)

Problems and Solutions in Mathematical Finance Volume III Interest Rates and Inflation Indexed Derivatives - The Wiley Finance Series
Author: Eric Chin, Sverrir Olafsson, Dian Nel
Trading in interest rate derivatives constitutes the largest derivatives market in the world. The combined value of outstanding interest rate contracts was estimated to be $33,565 billion in June 2010. Interest rate contracts are actively traded for position taking and speculation but also by more than 80% of the world?s top 500 companies for ri...more » sk management purposes. Modelling and pricing interest rate derivatives counts amongst the most challenging tasks in the world of derivatives, mainly due to the fact that the value of these derivatives depends on large segments of the term structure of interest rates as opposed to only one scalar value as in the case of stock and commodity options. A large number of different discrete and continuous models have been developed. Many of these are used for the pricing of a whole range of different contracts.Owing to the considerable complexity of interest rate models a good knowledge of their structure and suitability for the pricing of different contracts is very important. This requires not only a solid understanding of the models? basic mathematical structures but also of their respective applicability. That knowledge and practice can only be achieved through extensive problem solving and applications of different interest rate tools and models to a range of different market scenarios.In this volume the main focus is on the application of modern interest rate models to concrete market situations. The focus is on a range of generic but practical situations where both detailed knowledge of the theoretical foundations and the realities of market situations are required. It therefore provides a long needed bridge between theory and practice. « less