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The book delves into the evolution of mathematical finance, highlighting the pivotal year of 1973 when the first option exchange opened and the Black-Scholes model was introduced, establishing a standard for pricing European stock options. In contrast, the interest-rate market lacks a unified model due to the complexity of yield curve dynamics. It explores various interest-rate models, including the Black model and the Heath-Jarrow-Morton framework, as well as promising approaches like the LIBOR and swap market models, emphasizing their significance in managing market risk.
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Interest-Rate Management, Rudi Zagst
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- Année de publication
- 2010
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