Stochastic Interest Rates

Business & Finance, Economics, Statistics, Finance & Investing, Finance
Cover of the book Stochastic Interest Rates by Daragh McInerney, Tomasz Zastawniak, Cambridge University Press
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Author: Daragh McInerney, Tomasz Zastawniak ISBN: 9781316287477
Publisher: Cambridge University Press Publication: August 10, 2015
Imprint: Cambridge University Press Language: English
Author: Daragh McInerney, Tomasz Zastawniak
ISBN: 9781316287477
Publisher: Cambridge University Press
Publication: August 10, 2015
Imprint: Cambridge University Press
Language: English

This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen examples to help students acquire the necessary skills to deal with interest rate modelling in a real-world setting. In addition, the book's webpage at www.cambridge.org/9781107002579 provides solutions to all of the exercises as well as the computer code (and associated spreadsheets) for all numerical work, which allows students to verify the results.

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This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen examples to help students acquire the necessary skills to deal with interest rate modelling in a real-world setting. In addition, the book's webpage at www.cambridge.org/9781107002579 provides solutions to all of the exercises as well as the computer code (and associated spreadsheets) for all numerical work, which allows students to verify the results.

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