Mastering Mathematical Finance

Mastering Mathematical Finance

McInerney, Daragh; Zastawniak, Tomasz

Cambridge University Press

08/2015

172

Dura

Inglês

9781107002579

15 a 20 dias

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.
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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