Bøker av Denis Talay

Provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The originality of the survey lies in the fact that it provides a framework in which continuous-time term structure models can be nested and related to each other.

The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes.