© 2004

Interest Rate Modelling

  • Authors

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xi
  2. Interest Rate Models

    1. Front Matter
      Pages 1-1
    2. Simona Svoboda
      Pages 3-17
    3. Simona Svoboda
      Pages 19-47
    4. Simona Svoboda
      Pages 49-57
    5. Simona Svoboda
      Pages 95-102
    6. Simona Svoboda
      Pages 103-120
    7. Simona Svoboda
      Pages 135-139
    8. Simona Svoboda
      Pages 141-160
    9. Simona Svoboda
      Pages 161-211
    10. Simona Svoboda
      Pages 213-226
  3. Calibration

    1. Front Matter
      Pages 227-227
  4. Back Matter
    Pages 269-275

About this book


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.


derivatives dynamics equilibrium growth interest modeling

About the authors

SIMONA SVOBODA works as a Quantitative Analyst on the interest rates structuring desk at Rand Merchant Bank, South Africa. Prior to this she held positions in asset management and risk where she was involved in the development of market risk VAR models and credit portfolio management.

Bibliographic information