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Interest Rate Modelling
 
 
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Interest Rate Modelling [Hardcover]

Jessica James (Author), Nick Webber (Author)
4.9 out of 5 stars  See all reviews (7 customer reviews)
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"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#

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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.
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Inside This Book (Learn More)
First Sentence
This chapter looks at some basic concepts of interest rates, interest rate markets, and modelling. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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7 Reviews
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4.9 out of 5 stars (7 customer reviews)
 
 
 
 
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5.0 out of 5 stars Best Book on Interest Rate Models in the Global Markets, Oct 23 2003
By A Customer
This review is from: Interest Rate Modelling (Hardcover)
This is the most comprehensive coverage of interest rate models available anywhere in the global markets. If you already have a model, read this book to examine options for additional improvements. If you are developing a model, buy this book for the best state-of-the-art guidance available.

Jessica James's writing is always clear and accessible, and her Ph.D. in physics lends unparalleled quantitative expertise to the state-of-the art analysis of models and their applications.

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5.0 out of 5 stars A real must !, Dec 30 2001
This review is from: Interest Rate Modelling (Hardcover)
As a math grad student who is interested in the term structure modelling, I found that this book is really useful! It just tells you everything about interest rate modelling,not just for the no-arbitrage modelling issue, they even have a chapter about the macroeconomic foundation for interest rate fluctuation! The math used in this book is very concise without too much measure theory twaddle,Everyone who works in this field should have a copy. It's a real must!
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5.0 out of 5 stars Best Book on Interest Rate Models in the Global Markets, Oct 27 2001
By A Customer
This review is from: Interest Rate Modelling (Hardcover)
This is the most comprehensive coverage of interest rate models available anywhere in the global markets. If you already have a model, read this book to examine options for additional improvements. If you are developing a model, buy this book for the best state-of-the-art guidance available.

Jessica James's writing is always clear and accessible, and her Ph.D. in physics lends unparalleled quantitative expertise to the state-of-the art analysis of models and their applications.

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