Jeroen F. J. de Munnik

The Valuation of Interest Rate Derivative Securities (eBook, PDF)

• Format: PDF

Produktbeschreibung

The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: * a detailed overview and classification of the different approaches to value interest rate dependent securities * a comparison of the numerical approaches to value complex securities * an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 200
• Erscheinungstermin: 18. Oktober 2005
• Englisch
• ISBN-13: 9781134775927
• Artikelnr.: 41868624

Autorenporträt

Completed his Ph.D. thesis The Valuation of Interest Rate Derivative Securities' in 1992. During his Ph.D. study he worked for J.P.Morgan Securities Inc. in New York and published in the Journal of Banking and Finance. Currently, he is working as a financial controller at Spaarbeleg Bank, a 100 per cent subsidiary of AEGON Insurance.