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Stochastic Interest Rates Daragh McInerney (AGH University of Science and Technology, Krakow)

Stochastic Interest Rates By Daragh McInerney (AGH University of Science and Technology, Krakow)

Summary

Designed for Master's students and final-year undergraduates, this book strikes the right balance between mathematical rigour and practical application. Carefully chosen examples and exercises help students acquire the necessary skills to deal with interest rate modelling in a real-world setting.

Stochastic Interest Rates Summary

Stochastic Interest Rates by Daragh McInerney (AGH University of Science and Technology, Krakow)

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.

About Daragh McInerney (AGH University of Science and Technology, Krakow)

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. Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about 50 research publications and six books. He has supervised four PhD dissertations and around 80 MSc dissertations in mathematical finance.

Table of Contents

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.

Additional information

NPB9780521175692
9780521175692
0521175690
Stochastic Interest Rates by Daragh McInerney (AGH University of Science and Technology, Krakow)
New
Paperback
Cambridge University Press
2015-08-10
169
N/A
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