Daragh McInerney, Tomasz Zastawniak

Stochastic Interest Rates

• Gebundenes Buch

Produktbeschreibung

Designed for Master's students, this practical text strikes the right balance between mathematical rigour and real-world application.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 172
• Erscheinungstermin: 3. August 2016
• Englisch
• Abmessung: 235mm x 157mm x 14mm
• Gewicht: 409g
• ISBN-13: 9781107002579
• ISBN-10: 1107002575
• Artikelnr.: 42283746

Autorenporträt

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.