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.
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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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Designed for Master's students, this practical text strikes the right balance between mathematical rigour and real-world application.
Produktdetaljer
ISBN
9781107002579
Publisert
2015-08-13
Utgiver
Cambridge University Press
Vekt
400 gr
Høyde
236 mm
Bredde
154 mm
Dybde
13 mm
Aldersnivå
P, U, 06, 05
Språk
Product language
Engelsk
Format
Product format
Innbundet
Antall sider
172