This book is intended as a textbook for Ph. D. students in finance and as a reference book for academics. It is written at an introductory level but includes detailed proofs and calculations as section appendices. It covers the classical results on single-period, discrete-time, …
This book offers an up-to-date look at the evolution of interest rate swaps and derivatives. "Interest Rate Swaps and Derivatives" bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main 'rates' pr…
Andrew Cairns introduces the tools required for the arbitrage-free modelling of the term structure of interest rates. The text offers a detailed introduction to numerical methods, credit risk & calibration.
