Interest Rate Modelling
Interest Rate Modelling by S. Svoboda, published by Palgrave Macmillan UK in January 2004, is a comprehensive exploration of the evolving landscape of interest rate models. This 1st edition, consisting of 275 pages, delves into the complexities of pricing innovative interest rate-dependent products in the derivatives market. The book places various models within their mathematical context, facilitating a deeper understanding of their key assumptions and implications.
Readers will find a thorough examination of the derivation and implementation of diverse models that address the characteristics and irregularities of observed term structures. The text focuses on essential topics such as macroeconomics, monetary policy, and corporate finance, making it a valuable resource for practitioners in the financial services industry. This edition serves as a guide for those looking to navigate the sophisticated dynamics of the yield curve and the intricacies of interest rate modelling.
Official synopsis Publisher
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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