Articles liés à Interest Rate Modelling

Interest Rate Modelling - Couverture souple

Svoboda, S.

 
9781349517329: Interest Rate Modelling
Couverture souple
ISBN 10 : 1349517321 ISBN 13 : 9781349517329
Editeur : Palgrave Macmillan, 2004

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Palgrave Macmillan
Date d'édition
2004
Langue
anglais
ISBN 10 
1349517321
ISBN 13 
9781349517329
Reliure
Broché
Numéro d'édition
1
Nombre de pages
286
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