As interest rate markets continue to innovate and expand it isbecoming increasingly important to remain up-to-date with thelatest practical and theoretical developments. This book covers thelatest developments in full, with descriptions and implementationtechniques for all the major classes of interest rate models-boththose actively used in practice as well as theoretical models still'waiting in the wings'. Interest rate models, implementation methods and estimation issuesare discussed at length by the authors as are ...

Interest Rate Modelling 2000, John Wiley & Sons, Chichester, England

ISBN-13: 9780471975236