Name: Efficient Methods for Valuing Interest Rate Derivatives
ISBN: 9781852333041

Book information

Authors: Antoon Pelsser verified identity
First published: 2000
Editions known: 1
Publishers: Springer
Languages: eng
ISBN-13: 9781852333041
Main topics: Derivatives Pricing, Fixed Income
Also covers: Risk Management
Related site topics: Fixed Income & Interest Rates, Options & Derivatives Pricing, Risk Management & Tail Risk

Overview

Efficient Methods for Valuing Interest Rate Derivatives is a book by Antoon Pelsser, first published in 2000. In this catalogue it is classified mainly under Derivatives Pricing and Fixed Income, with secondary coverage of Risk Management.

Audience and depth. The available metadata did not allow a mathematical difficulty estimate, so none is shown; treat the technical level as unknown.

Orientation. The theory-versus-practice balance could not be determined from metadata. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 81% and difficulty confidence is 0%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	62/100 confidence 81% Score 61.8/100. Strongest: quant_relevance 0.98, metadata_completeness 0.85; weakest: practical_applicability 0.00. Evidence: title:'interest rate derivatives', subjects:'derivative securities'. Difficulty unknown (neutral technical_depth).
Mathematical difficulty	Unknown
Metadata quality	71%

Difficulty evidence (1 signal)

stochastic_processes matched in openalex_topics: “stochastic processes”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

Shifting the yield curve for fixed-income and derivatives portfolios Topic similarity inferred similarity 0.52
Deep Hedging Bermudan Swaptions Topic similarity inferred similarity 0.50
A Unifying Approach for the Pricing of Debt Securities Topic similarity inferred similarity 0.49
Statistical modeling of SOFR term structure Topic similarity inferred similarity 0.48
The Volterra Stein-Stein model with stochastic interest rates Topic similarity inferred similarity 0.46
Choice of Collateral Currency in Differential Swaps Topic similarity inferred similarity 0.46

Similar books

Efficient Methods for Valuing Interest Rate Derivatives inferred similarity 0.58
Valuation of Interest Rate Derivative Securities inferred similarity 0.56
Interest Rate Swaps and Their Derivatives inferred similarity 0.52
Valuation in a World of CVA, DVA, and FVA inferred similarity 0.52
Interest Rate Models inferred similarity 0.49

Author profiles

Antoon Pelsser verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9781852333041) (search link; may be an affiliate link)

Relationship graph

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