Stochastic Interest Rates

Stochastic Interest Rates

by Daragh McInerney, Tomasz Zastawniak

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Product Details

ISBN-13: 9780521175692
Publisher: Cambridge University Press
Publication date: 08/10/2015
Series: Mastering Mathematical Finance Series
Pages: 169
Product dimensions: 5.98(w) x 8.98(h) x 0.31(d)

About the Author

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.

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