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Interest Rate Modelling

Name: Interest Rate Modelling
Brand: Palgrave USA
SKU: 04776053
Price: 109947 HUF
Availability: InStock
Author: Simona Svoboda
ISBN: 9781403934703

Simona Svoboda

Language

English

Book Hardback

Libristo code: 04776053

Publishers Palgrave USA, December 2003

Growth in the derivatives market has brought with it a greater volume and range of interest rate dep... Full description

Libristo code: 04776053

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Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the evolution of interest rate modelling theory places these models in the correct mathematical context, allowing appreciation of their key assumptions, concepts and implications. The book guides the practitioner through the derivation and implementation of a variety of models that account for the characteristics and irregularities of observed term structures.