Stochastic Interest Rates

Daragh McInerney; Tomasz Zastawniak

doi:10.1017/CBO9781139035033

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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Stochastic Interest Rates

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Contents

Frontmatter
pp i-iv

Dedication
pp v-vi

Contents
pp vii-viii

Preface
pp ix-x

1 - Fixed-income instruments
pp 1-21

2 - Vanilla interest rate options and forward measure
pp 22-40

3 - Short-rate models
pp 41-66

4 - Models of the forward rate
pp 67-81

5 - LIBOR and swap market models
pp 82-111

6 - Implementation and calibration of the LMM
pp 112-127

7 - Valuing interest rate derivatives
pp 128-142

8 - Volatility smile
pp 143-158

Index
pp 159-160

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