
Stochastic Interest Rates
Cambridge University Press
Published on 10. August 2015
Book
Paperback/Softback
169 pages
978-0-521-17569-2 (ISBN)
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.
More details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
College/higher education
Product notice
Paperback (trade)
Illustrations
Worked examples or Exercises; 10 Tables, black and white; 25 Line drawings, unspecified
Dimensions
Height: 226 mm
Width: 151 mm
Thickness: 10 mm
Weight
289 gr
ISBN-13
978-0-521-17569-2 (9780521175692)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions

Daragh McInerney | Tomasz Zastawniak
Stochastic Interest Rates
E-Book
11/2016
Cambridge University Press
€29.49
Available for download

Daragh McInerney | Tomasz Zastawniak
Stochastic Interest Rates
Book
08/2015
Cambridge University Press
€97.60
Shipment within 15-20 days
Persons
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.
Author
AGH University of Science and Technology, Krakow
University of York
Content
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.