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Interest Rate Modelling

Interest Rate Modelling by Simona Svoboda
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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.
Palgrave Macmillan; December 2003
288 pages; ISBN 9781403946027
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Title: Interest Rate Modelling
Author: Simona Svoboda