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XVIII, 490 S.
graph. Darst.
Type of publication: Book / Working Paper
Language: English
Machine generated contents note: 1. Synopsis; 2. Interest rates and coupon bonds; 3. Options and option theory; 4. Interest rate and coupon bond options; 5. Quantum field theory of bond forward interest rates; 6. Libor Market Model of interest rates; 7. Empirical analysis of forward interest rates; 8. Libor Market Model of interest rate options; 9. Numeraires for bond forward interest rates; 10. Empirical analysis of interest rate caps; 11. Coupon bond European and Asian options; 12. Empirical analysis of interest rate swaptions; 13. Correlation of coupon bond options; 14. Hedging interest rate options; 15. Interest rate Hamiltonian and option theory; 16. American options for coupon bonds and interest rates; 17. Hamiltonian derivation of coupon bond options; Appendixes; Glossaries; List of symbols; Reference; Index.
ISBN: 978-0-521-88928-5
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