Stochastic interest rates.

*(English)*Zbl 1318.91002
Mastering Mathematical Finance. Cambridge: Cambridge University Press (ISBN 978-0-521-17569-2/pbk; 978-1-107-00257-9/hbk; 978-1-139-03503-3/ebook). ix, 160 p. £ 23.99; £ 49.99/hbk (2015).

Publisher’s description: 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. The book 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 http://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.

– Well-motivated examples and exercises make material accessible to Master’s students, advanced undergraduates and entry-level finance professionals

– Coverage of practical topics prepares students for work in the field of stochastic interest rate derivatives

– Modular structure of the series helps students rapidly develop specific skills

– Well-motivated examples and exercises make material accessible to Master’s students, advanced undergraduates and entry-level finance professionals

– Coverage of practical topics prepares students for work in the field of stochastic interest rate derivatives

– Modular structure of the series helps students rapidly develop specific skills

##### MSC:

91-01 | Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance |

91G30 | Interest rates, asset pricing, etc. (stochastic models) |

91G20 | Derivative securities (option pricing, hedging, etc.) |

60H30 | Applications of stochastic analysis (to PDEs, etc.) |

91B70 | Stochastic models in economics |