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Close 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.
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Valuation of Interest Rate Derivative Securities

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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 in

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Author(s): De Munnik, Jeroen

Publisher: Taylor & Francis

Pub. Date: 1996

pages: 194

Language: English

ISBN: 978-0-415-13727-0

eISBN: 978-0-203-98277-8

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 in
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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