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Efficient Methods for Valuing Interest Rate Derivatives
Overview of attention for book
Table of Contents
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Book Overview
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Chapter 1
Introduction
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Chapter 2
Arbitrage, Martingales and Numerical Methods
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Chapter 3
Spot and Forward Rate Models
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Chapter 4
Fundamental Solutions and the Forward-Risk-Adjusted Measure
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Chapter 5
The Hull-White Model
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Chapter 6
The Squared Gaussian Model
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Chapter 7
An Empirical Comparison of One-Factor Models
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Chapter 8
LIBOR and Swap Market Models
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Chapter 9
Markov-Functional Models
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Chapter 10
An Empirical Comparison of Market Models
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Chapter 11
Convexity Correction
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Chapter 12
Extensions and Further Developments
Overall attention for this book and its chapters
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Mentioned by
syllabi
1
institution with syllabi
Citations
dimensions_citation
122
Dimensions
Book overview
1. Introduction
2. Arbitrage, Martingales and Numerical Methods
3. Spot and Forward Rate Models
4. Fundamental Solutions and the Forward-Risk-Adjusted Measure
5. The Hull-White Model
6. The Squared Gaussian Model
7. An Empirical Comparison of One-Factor Models
8. LIBOR and Swap Market Models
9. Markov-Functional Models
10. An Empirical Comparison of Market Models
11. Convexity Correction
12. Extensions and Further Developments
Summary
Syllabi
Dimensions citations
This data is correct as of December 2015 - for more up to date information, please visit
https://opensyllabus.org/
So far, Altmetric has seen this research output assigned in
1
syllabus from an institution on Open Syllabus Project.
Institution
Syllabi count
Course subject areas covered
Unknown
1
Performing Arts, Law