Stochastic Interest Rates

Stochastic Interest Rates

By (author)  , By (author) 

List price: US$195.00

Currently unavailable

We can notify you when this item is back in stock

Add to wishlist

AbeBooks may have this title (opens in new window).

Try AbeBooks

Description

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.show more

Product details

  • Online resource
  • Cambridge University Press (Virtual Publishing)
  • Cambridge, United Kingdom
  • English
  • 25 b/w illus. 10 tables 60 exercises
  • 1139035037
  • 9781139035033

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.show more

About Daragh McInerney

Daragh McInerney is a Director at the Valuation Modelling and Methodologies Group at UBS and a researcher in mathematical finance at AGH University of Science and Technology in Krakow, Poland. He holds a PhD in Applied Mathematics from the University of Oxford and has worked since 2001 as a quantitative analyst in both investment banking and fund management. Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about 50 research publications and six books. He has supervised four PhD dissertations and around 80 MSc dissertations in mathematical finance.show more