Stochastic interest rates
This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen exampl…
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- Full title :Stochastic interest rates / Daragh McInerney, Tomasz Zastawniak.
Summary
This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen examples to help students acquire the necessary skills to deal with interest rate modelling in a real-world setting. In addition, the book's webpage at www.cambridge.org/9781107002579 provides solutions to all of the exercises as well as the computer code (and associated spreadsheets) for all numerical work, which allows students to verify the results.
Read More ↓Edition Statements
- Publication Date:2015.
Publication Statements
- Publisher(s):Cambridge University Press
- Place of Publication:Cambridge
- Language:eng
- Publication Date:2015.
Notes
Title from publisher's bibliographic system (viewed on 17 June 2015).
Includes index.
The Physical Object
- Description:1 online resource (x, 160 pages)
Edition Identifiers
- ISBN:9781139035033, 1139035037
- oclc:ocn911195423
- LC Classification:HB539
- Dewey Decimal:332.1/13
Table of Contents
Preface -- 1. Fixed income instruments -- 2. Vanilla interest rate options and forward measure -- 3. Short rate models -- 4. Models of the forward rate -- 5. LIBOR and swap market models -- 6. Implementation and calibration of the LMM -- 7. Valuing interest rate derivatives -- 8. Volatility smile -- Index.
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