Stochastic Interest Rates

Stochastic Interest Rates

Zastawniak, Tomasz; McInerney, Daragh

Cambridge University Press

08/2015

172

Dura

Inglês

9781107002579

15 a 20 dias

Designed for Master's students, this practical text strikes the right balance between mathematical rigour and real-world application.
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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