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Stochastic Interest Rates: Mastering Mathematical Finance

Autor Daragh McInerney, Tomasz Zastawniak
en Limba Engleză Hardback – 12 aug 2015
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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Specificații

ISBN-13: 9781107002579
ISBN-10: 1107002575
Pagini: 172
Ilustrații: 25 b/w illus. 10 tables 60 exercises
Dimensiuni: 154 x 236 x 13 mm
Greutate: 0.4 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Mastering Mathematical Finance

Locul publicării:New York, United States

Cuprins

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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Descriere

Designed for Master's students, this practical text strikes the right balance between mathematical rigour and real-world application.