Interest rate models from cole polytechnique fdrale de lausanne this course gives you an easy introduction to interest rates and related contracts these include the libor bonds forward rate agreements swaps interest rate futures caps . A short rate model in the context of interest rate derivatives is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate usually written. Interest rate models paradigm shifts in recent years damiano brigo q sci managing director and global head derivativefitch 101 finsbury pavement london. Overall this is by far the best interest rate models book in the market ita cirovic donev mathdl may 2007 this is a very detailed course on interest rate models. O interest rate theory is not standardized yet there is no well accepted standard general model such as the black scholes model for equities o the very nature of fixed income instruments causes difficulties other
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