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.
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