Publisher: Palgrave Macmillan

Pages: 250

Publish year: 2004

ISBN-10: 1403934703

ISBN-13: 9781403934703

Description: Growth in the derivatives market has brought with it an ever-increasing volume and range of interest rate dependent products. To allow profitable, efficient trading in these products, accurate and mathematically sound valuation techniques are required to make pricing, hedging and risk management of the resulting positions available. Svoboda looks at the predecessors of market models and focuses on describing and explaining the general shape of the interest rate term structure.