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Interest Rate Modelling

Interest Rate Modelling

Paperback

Series: Finance and Capital Markets

EconomicsInvesting & Finance

ISBN10: 1349517321
ISBN13: 9781349517329
Publisher: Palgrave
Published: Jan 1 2004
Pages: 275
Weight: 0.90
Height: 0.60 Width: 6.14 Depth: 9.21
Language: English
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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