Titlebook: Efficient Methods for Valuing Interest Rate Derivatives; Antoon Pelsser Book 2000 Springer-Verlag London 2000 Portfolio.Stochastic modelli

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Extensions and Further Developmentsand experience on working with interest rate models and how to adapt and extend these models for various purposes. Note that this final chapter is written in the “I” form to emphasise the fact that I express my personal views here. I feel this is necessary, as the practical implementation of pricing models is as much an art as it is pure science.

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978-1-84996-861-4Springer-Verlag London 2000

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Der Ewige Kreislauf des Weltallsver, interest rates play a double role in interest rate models: they determine the amount of discounting, and they determine the payoff of the security. This implies that the discounting term and the payoff term are two correlated stochastic variables, which makes the evaluation of the expectation quite difficult.

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hapter 4 we proved that only normal models where the spot interest rate is a linear or quadratic function of the underlying process . have normally distributed fundamental solutions. Hence, only these models are expected to have a rich analytical structure.

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https://doi.org/10.1007/978-3-662-41237-4own how this theory can be used for valuing interest rate derivatives. We analysed in Chapters 5 and 6 a linear and a squared normal model which both have a rich analytical structure. However, only little attention has been devoted to the empirical validity of these models. In this chapter we address this problem.

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