The theory of interest rates is presented here from a modern perspective, along with a variety of applications. The book begins with an exposition of the probabilistic foundations needed later. The mathematical framework develoepd is sufficiently rich to cover a wide variety of applicable financial models. The theory of asset pricing is developed from the modern pricing kernel viewpoint rather than the usual hedging approach. Various types of interest rates, the associated market conventions and interest rate derivative structures can then be tackled.
- ISBN10 0521867029
- ISBN13 9780521867023
- Publish Date 1 June 2020
- Publish Status Out of Print
- Out of Print 25 May 2021
- Publish Country GB
- Imprint Cambridge University Press
- Format Hardcover
- Pages 250
- Language English