Stochastic Interest Rates
Author:   Daragh McInerney (AGH University of Science and Technology, Krakow) ,  Tomasz Zastawniak (University of York)
Publisher:   Cambridge University Press
ISBN:  

9780521175692


Pages:   169
Publication Date:   10 August 2015
Format:   Paperback
Availability:   Available To Order   Availability explained
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Stochastic Interest Rates


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Author:   Daragh McInerney (AGH University of Science and Technology, Krakow) ,  Tomasz Zastawniak (University of York)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press
Dimensions:   Width: 15.20cm , Height: 0.80cm , Length: 22.90cm
Weight:   0.290kg
ISBN:  

9780521175692


ISBN 10:   0521175690
Pages:   169
Publication Date:   10 August 2015
Audience:   Professional and scholarly ,  College/higher education ,  Professional & Vocational ,  Tertiary & Higher Education
Format:   Paperback
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

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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Author Information

Daragh McInerney is a Director at the Valuation Modelling and Methodologies Group at UBS and a researcher in mathematical finance at AGH University of Science and Technology in Krakow, Poland. He holds a PhD in Applied Mathematics from the University of Oxford and has worked since 2001 as a quantitative analyst in both investment banking and fund management. Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about 50 research publications and six books. He has supervised four PhD dissertations and around 80 MSc dissertations in mathematical finance.

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