Pelsser A. Efficient methods for valuing interest rate derivatives

London: Springer-Verlag London Limited 2000. — 176 p. — ISBN: 1-85233-304-9.
Springer Finance Series.This book aims to give an overview of models that can be used for efficient valuation of (exotic) interest rate derivatives. The first part of this book discusses and compares traditional models such as spot and forward rate models which are widely used by both academics and practitioners. The second part of this book focuses on models that have been developed recently: the market models. These models have already sparked a lot of interest with banks and institutions. However, since the underlying mathematics is more complicated, it can be difficult to understand and implement these models successfully. This books seeks to de-mystify the market models and aims to show how these models can be implemented by using examples of products that are actually traded in the market. Also we discuss how to choose the model most suited to different products and we show that for many popular products a simple modelling approach based on convexity correction is very successful.