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Interest Rate Modelling
Language
English
English
Book
Paperback
Growth in the derivatives market has brought with it a greater volume and range of interest rate dep...
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Libristo code: 12045732
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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.
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About the book
Full name
Interest Rate Modelling
Author
Simona Svoboda
Language
English
English
Binding
Book - Paperback
Date of issue
2004
Number of pages
275
EAN
9781349517329
Libristo code
12045732
Publishers
Palgrave Macmillan
Weight
408
Dimensions
155 x 235 x 15
