Finance and Capital Markets Series

Svoboda, S.

Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the evolution of interest rate modelling theory places these models in the correct mathematical context, allowing appreciation of their key assumptions, concepts and implications. The book guides the practitioner through the derivation and implementation of a variety of models that account for the characteristics and irregularities of observed term structures.

Details

Published by: Palgrave Macmillan

Publication Date: 2003-12-19

Format: Hardcover

ISBN-13: 9781403934703

DOI: 10.1057/9781403946027

Dimensions: 235cm x155cm

Pages: 275