Stochastic Interest Rates

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.

Table of Contents

Chapter 1 Fixed-income instruments
Chapter 2 Vanilla interest rate options and forward measure
Chapter 3 Short-rate models
Chapter 4 Models of the forward rate
Chapter 5 LIBOR and swap market models
Chapter 6 Implementation and calibration of the LMM
Chapter 7 Valuing interest rate derivatives
Chapter 8 Volatility smile