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Interest-Rate Management

 Buch
Besorgungstitel | Lieferzeit:3-5 Tage I
ISBN-13:
9783540675945
Einband:
Buch
Seiten:
341
Autor:
Rudi Zagst
Gewicht:
660 g
Format:
240xx mm
Serie:
Springer Finance
Sprache:
Englisch
Beschreibung:

Introduction.- Stochastic Processes and Martingales.- Financial Markets.- Interest Rate Markets.- Interest Rate Derivatives.- Risk Measures.- Risk Management.- Appendix.
This book adresses the needs of both researchers and practitioners. It combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about financial markets. The first part of the book is an exposition of advanced stochastic calculus. It defines the theoretical framework for the pricing and hedging of contingent claims with a special focus on interest-rate markets. The second part covers a selection of short and long-term oriented risk measures as well as their application to the risk management of interest -rate portfolios. Interesting and comprehensive case studies are provided to illustrate the theoretical concepts.

Introduction.- Stochastic Processes and Martingales.- Financial Markets.- Interest Rate Markets.- Interest Rate Derivatives.- Risk Measures.- Risk Management.- Appendix.
This book adresses the needs of both researchers and practitioners. It combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about financial markets. The first part of the book is an exposition of advanced stochastic calculus. It defines the theoretical framework for the pricing and hedging of contingent claims with a special focus on interest-rate markets. The second part covers a selection of short and long-term oriented risk measures as well as their application to the risk management of interest -rate portfolios. Interesting and comprehensive case studies are provided to illustrate the theoretical concepts.
Autor: Rudi Zagst
Professor Dr. Rudi Zagst studierte Wirtschaftsmathematik an der Universität Ulm. Nach seiner Habilitation im Jahr 2000 an der Universität Ulm nahm Prof. Zagst im Jahr 2001 einen Ruf an die Technische Universität München als Professor für Finanzmathematik an und ist dort seit 2002 Leiter des HVB Stiftungsinstituts für Finanzmathematik. Im Jahr 2003 wurde er zum Ehrenvorsitzenden des Aufsichtsrates der risklab germany GmbH ernannt und erhielt im Jahr 2007 von der Zeitschrift "Unicum Beruf" die Auszeichnung zum "Professor des Jahres 2007" für sein Engagement um eine praxisnahe Ausbildung seiner Studenten.
Autor: Rudi Zagst
ISBN-13:: 9783540675945
ISBN: 3540675949
Verlag: Springer, Berlin
Gewicht: 660g
Seiten: 341
Sprache: Englisch
Sonstiges: Buch, 240xx mm, 21 SW-Abb.,