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Modelling Interest Rates: Advances in Derivatives Pricing
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Modelling Interest Rates: Advances in Derivatives Pricing (Paperback)

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"Modelling Interest Rates" is an invaluable aid to researchers who aim to get acquainted with the new trends in the interest rate models and to practitioners with a need to use increasingly sophisticated tools to price exotic claims consistently with the information on the underlying variables that is provided by the market in terms of plain vanilla quotes. This book will be essential reading for: Interest rate modellers; Risk managers; Risk modellers; Interest rate analysts; Derivatives traders; and, Pricing managers.

BusinessFinance & accountingFinanceInvestment & securities Publisher: Risk Books Publication Date: 01/05/2009 ISBN-13: 9781906348137  Details: Type: Paperback Format: Books
Availability: To Order. Estimated despatch in 1-3 weeks.  

Fabio Mercurio is Senior Quant Researcher at Bloomberg, New York. He holds a BSc in Applied Mathematics from the University of Padua and a Ph.D. in Mathematical Finance from the Erasmus University of Rotterdam. His recent scientific interests include interest rate and inflation modelling, the pricing of hybrids and the smile modelling for the main asset classes. Fabio has published several articles in journals such as Mathematical Finance, Quantitative Finance, Finance and Stochastics and Risk.

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