Typically literature on the subject of interest rate modelling is based on the assumption of risk-free interest rate markets. Clearly this assumption no longer holds. As a consequence of the crisis, market participants have been alerted to risk factors which had previously been neglected. This knowledge has led to important changes in the patterns of market data and to new approaches in interest rate modelling. As interest rate markets continue to innovate and expand in this new landscape, it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. In Interest Rate Modelling after the Financial Crisis, Massimo Morini and Marco Bianchetti address and explicate these changes, gathering the latest ideas on post-crisis market modelling and applying new methods to market data and market practice.

Massimo Morini, Marco Bianchetti (2013). Interest Rate Modelling after the Financial Crisis. Londra : Risk Books.

Interest Rate Modelling after the Financial Crisis

Marco Bianchetti
2013

Abstract

Typically literature on the subject of interest rate modelling is based on the assumption of risk-free interest rate markets. Clearly this assumption no longer holds. As a consequence of the crisis, market participants have been alerted to risk factors which had previously been neglected. This knowledge has led to important changes in the patterns of market data and to new approaches in interest rate modelling. As interest rate markets continue to innovate and expand in this new landscape, it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. In Interest Rate Modelling after the Financial Crisis, Massimo Morini and Marco Bianchetti address and explicate these changes, gathering the latest ideas on post-crisis market modelling and applying new methods to market data and market practice.
2013
484
9781906348939
Massimo Morini, Marco Bianchetti (2013). Interest Rate Modelling after the Financial Crisis. Londra : Risk Books.
Massimo Morini; Marco Bianchetti
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/841841
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