Stochastic Interest Rates

McInerney, Daragh|Zastawniak, Tomasz

ISBN 10: 0521175690 / ISBN 13: 9780521175692

Published by CAMBRIDGE, 2015

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. Seller Inventory # 38255716

Synopsis:

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 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.

Bibliographic Details

Title: Stochastic Interest Rates
Publisher: CAMBRIDGE
Publication Date: 2015
Binding: Soft cover
Condition: New