Stochastic Interest Rates

Stochastic Interest Rates (Mastering Mathematical Finance) by Daragh McInerney and Tomasz Zastawniak
English | 2015 | ISBN: 1107002575, 0521175690 | 169 pages | PDF | 1 MB

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 Masters 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 books webpage at 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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