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.
Inhaltsangabe
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.
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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