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Interest Rate Modelling: Financial Engineering [Hardcover]
Jessica James (Author), Nick Webber (Author)
4.6 out of 5 stars See all reviews(7 customer reviews)

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List Price:	$165.00
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Book Description
Publication Date: January 15, 2000
ISBN-10: 0471975230 | ISBN-13: 978-0471975236| Edition: 1
As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models-both those actively used in practice as well as theoretical models still 'waiting in the wings'.

Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds.

Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout, making it an ideal resource for both practitioners and researchers.


Editorial Reviews
Review
"Interest Rate Modelling is an encyclopedic treatment of interest rates and their related financial derivatives. It combines advanced theory with extensive and down-to-earth data analysis in a way which is truly unique. For practitioners, students and scholars in the field, this impressive wok will be the standard reference for years to come.", Professor Tomas Bjork, , Stockholm School of Economics#"...an excellent book. I am particularly pleased by its breadth and range of topics...the reader is provided with an informative and readable exposition.", Dr Farshid Jamshidian, , NetAnalytic#"I particularly like the strong emphasis on the practicalities and calibration of interest rate models. This book will be invaluable as a comprehensive reference to students, researchers, and practitioners.", Professor Francis Longstaff, , The Anderson School at UCLA#"This is a carefully written, scholarly but fascinating presentation of the field of Interest Rate Modelling. It combines the best of two worlds: the rigour expected from finance in acamedia with the relevance expected from finance in practice. James and Webber are truly masters of their market since this book is surely a must-buy for both researchers and practitioners. If only all finance books were written with this care and attention to detail.", Dr Neil Johnson, , Clarendon Laboratory, Oxford#"Today, interest rates are key economic instruments. This is a mammoth treatise and must surely rank as one of the most comprehensive available on the topic. Anyone interested in modelling or simulating the behaviour of interest rates, be they practitioner, economist, mathematician or new entrant to the subject, will find within a wealth of pertinent material.", Professor Peter Richmond, , Trinity College Dublin#

From the Inside Flap
Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.

A series of introductory chapters reviews the theoretical background, pointing out the problems in using nave valuation and implementation techniques. There follow as full analysis of interest rate models including major categories, such as affine, HJM and market models, and in addition, lesser will know types that include Consol, random field and jump-augmented models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, lattice and Monte Carlo methods and their particular application ot the valuation of interest rate derivatives.

Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementation models for real and for academics teaching and researching in the field.

See all Editorial Reviews

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Product Details

• Series: Wiley Series in Financial Engineering (Book 77)
• Hardcover: 654 pages
• Publisher: Wiley; 1 edition (January 15, 2000)
• Language: English
• ISBN-10: 0471975230
• ISBN-13: 978-0471975236
• Product Dimensions:1.6 x 6.2 x 9.2 inches