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Interest Rate Modelling by S. Svoboda
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Interest Rate Modelling

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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.

Author Biography:

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.
Release date Australia
January 1st, 2004
Author
Audience
  • Professional & Vocational
Edition
1st ed. 2004
Illustrations
XI, 275 p.
Pages
275
ISBN-13
9781349517329
Product ID
25602329

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