Inflation Markets

Inflation Markets

Managing Systemic Exposure

Managing Systemic Exposure

£145.00

In response to the financial crisis, a plethora of new research appeared which attempted to understand, incorporate, and delineate the most significant changes observed in the market.  Editors Massimo Morini and Marco Bianchetti have both experienced first-hand how market patterns and consequently trading practices have evolved.

For Interest Rate Modelling after the Financial Crisis, they have assembled a team of expert contributors who articulate and formalise the most important of these changes and the new methodologies which have accompanied them. Contributors include Fabio Mercurio (Senior Quant Researcher at Bloomberg, New York), Akihiko Takahashi (Professor at the Graduate School of Economics, University of Tokyo), Marc Henrard (Member of the Quantitative Research Team at OpenGamma) and Messaoud Chibane (Head of Quantitative Research at Shinsei Bank). Their chapters analyse the latest developments in interest rate modelling, focusing particularly on derivatives markets, derivatives pricing, interest rate term structure and volatility modelling, and interest rate derivatives pricing models.

ISBN
9781906348939
Write Your Own Review
You're reviewing:Interest Rate Modelling after the Financial Crisis
Your Rating