Interest Rate Modelling

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.

Author: S. Svoboda
Publisher: Palgrave MacMillan
Published: 01/01/2004
Pages: 275
Binding Type: Paperback
Weight: 0.90lbs
Size: 9.21h x 6.14w x 0.60d
ISBN: 9781349517329

About the Author
SIMONA SVOBODA works as a Quantitative Analyst on the interest rates structuring desk at Rand Merchant Bank, South Africa. Prior to this she held positions in asset management and risk where she was involved in the development of market risk VAR models and credit portfolio management.