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Stochastic Interest Rates

$32.00 USD

Part of Mastering Mathematical Finance

  • Date Published: November 2016
  • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • format: Adobe eBook Reader
  • isbn: 9781316308288

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  • 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.

    • Well-motivated examples and exercises make material accessible to Master's students, advanced undergraduates and entry-level finance professionals
    • Coverage of practical topics prepares students for work in the field of stochastic interest rate derivatives
    • Modular structure of the series helps students rapidly develop specific skills
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    Product details

    • Date Published: November 2016
    • format: Adobe eBook Reader
    • isbn: 9781316308288
    • contains: 25 b/w illus. 10 tables 60 exercises
    • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • 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.

  • Resources for

    Stochastic Interest Rates

    Daragh McInerney, Tomasz Zastawniak

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  • Authors

    Daragh McInerney, AGH University of Science and Technology, Krakow
    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, University of York
    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.

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