Interest Rate Modelling
ISBN: 1403934703
EAN13: 9781403934703
Language: English
Pages: 275
Edition: 2004
Dimensions: 1.00" H x 9.00" L x 6.00" W
Weight: 1.00 lbs.
Format: Hardcover
Book Overview
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.