Stochastic Interest Rates

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Daragh McInerney (AGH University of Science and Technology, Krakow) Tomasz Zastawniak (University of York)

Stochastic Interest Rates

Daragh McInerney (AGH University of Science and Technology, Krakow), Tomasz Zastawniak (University of York)

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English

Cambridge University Press
13 August 2015

Finance; Stochastics

Series: Mastering Mathematical Finance

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.

By: Daragh McInerney (AGH University of Science and Technology Krakow), Tomasz Zastawniak (University of York)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 229mm, Width: 152mm, Spine: 8mm
Weight: 290g
ISBN: 9780521175692
ISBN 10: 0521175690
Series: Mastering Mathematical Finance
Pages: 169
Publication Date: 13 August 2015
Audience: Professional and scholarly , College/higher education , Undergraduate , Primary
Format: Paperback
Publisher's Status: Active

Daragh McInerney is a Director at the Valuation Modelling and Methodologies Group at UBS and a researcher in mathematical finance at AGH University of Science and Technology in Krakow, Poland. He holds a PhD in Applied Mathematics from the University of Oxford and has worked since 2001 as a quantitative analyst in both investment banking and fund management. Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about 50 research publications and six books. He has supervised four PhD dissertations and around 80 MSc dissertations in mathematical finance.