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About this book
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.
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Table of contents (15 chapters)
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Front Matter
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Interest Rate Models
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Front Matter
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Back Matter
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.
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Bibliographic Information
Book Title: Interest Rate Modelling
Authors: Simona Svoboda
Series Title: Finance and Capital Markets Series
DOI: https://doi.org/10.1057/9781403946027
Publisher: Palgrave Macmillan London
eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)
Copyright Information: Palgrave Macmillan, a division of Macmillan Publishers Limited 2004
Hardcover ISBN: 978-1-4039-3470-3Published: 19 December 2003
Softcover ISBN: 978-1-349-51732-9Published: 01 January 2004
eBook ISBN: 978-1-4039-4602-7Published: 18 December 2003
Series ISSN: 2946-2010
Series E-ISSN: 2946-2029
Edition Number: 1
Number of Pages: XI, 275
Topics: Macroeconomics/Monetary Economics//Financial Economics, Business and Management, general, Business Finance, Investments and Securities