Interest rate modeling
theory and practice
- ISBN: 9781420090567
- Editorial: Chapman & Hall Ltd.
- Fecha de la edición: 2009
- Lugar de la edición: Boca Raton (FL). Estados Unidos de Norteamérica
- Colección: Chapman & Hall/CRC Financial Mathematics Series
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 353
- Idiomas: Inglés
Papel: Cartoné
78,16 €
39,95 €
Stock en librería. Envío en 24/48 horas
Interest rate derivatives play a central role in modern financial markets. Self-contained, practical, and easy to follow, this graduate- level textbook provides a systematic introduction to interest rate models used for pricing and hedging various derivatives on interest rates. It reveals the missing links between various types of interest rate models and addresses model calibration, volatility, and correlation adjustments. The author emphasizes application of the material by providing examples with real-world data. He also includes MATLAB [registered] codes of the algorithms used to obtain most numerical results.
