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  3. Stochastic Interest Rates
  • Cited by 3
Publisher:
Cambridge University Press
Online publication date:
June 2015
Print publication year:
2015
Online ISBN:
9781139035033
DOI:
https://doi.org/10.1017/CBO9781139035033
Subjects:
Mathematics, Mathematical Finance, Statistics for Econometrics, Finance and Insurance, Finance and Accountancy, Statistics and Probability
Series:
Mastering Mathematical Finance
Information

Book description

This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen examples to help students acquire the necessary skills to deal with interest rate modelling in a real-world setting. In addition, the book's webpage at www.cambridge.org/9781107002579 provides solutions to all of the exercises as well as the computer code (and associated spreadsheets) for all numerical work, which allows students to verify the results.

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