| Interest Rate Modelling 2004 Edition Contributor(s): Svoboda, S. (Author) |
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ISBN: 1403934703 ISBN-13: 9781403934703 Publisher: Palgrave MacMillan OUR PRICE: $294.50 Product Type: Hardcover - Other Formats Published: December 2003 Annotation: Growth in the derivatives market has brought with it an ever-increasing volume and range of interest rate dependent products. To allow profitable, efficient trading in these products, accurate and mathematically sound valuation techniques are required to make pricing, hedging and risk management of the resulting positions available. Svoboda looks at the predecessors of market models and focuses on describing and explaining the general shape of the interest rate term structure. |
| Additional Information |
| BISAC Categories: - Business & Economics | Interest - Business & Economics | Finance - General - Business & Economics | Economics - Macroeconomics |
| Dewey: 332.801 |
| LCCN: 2003070297 |
| Series: Finance and Capital Markets |
| Physical Information: 0.81" H x 6.08" W x 9.46" (1.22 lbs) 275 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |