Efficient methods for valuing interest rate derivatives

Research output: Book/ReportBookAcademic


"Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection. The aim is to demystify the whole process through using examples of products that are actually traded on the market."
Original languageEnglish
Place of PublicationLondon
Number of pages172
ISBN (Electronic)978-1-4471-3888-4
ISBN (Print)978-1-84996-861-4
Publication statusPublished - 2000
Externally publishedYes

Publication series

SeriesSpringer Finance


  • Zinsstrukturtheorie
  • Marchés à terme de taux d'intérêt
  • Derivaten (financiën)
  • Derivat
  • Instrument dérivé (Finances)
  • Bewertung
  • Cours du marché
  • Taux d'intérêt
  • Modèle mathématique
  • Mathématiques financières
  • Mathematisches Modell
  • Zins
  • Derivative securities
  • Rente
  • Instruments financiers


Dive into the research topics of 'Efficient methods for valuing interest rate derivatives'. Together they form a unique fingerprint.

Cite this