Interest-Rate Management

The complexity of new financial products as well as the ever-increasing importance of derivative securities for financial risk and portfolio management have made mathematical pricing models and comprehensive risk management tools increasingly important.


This book adresses the needs of both researchers and practitioners. It combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest rate derivatives. It may also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about financial markets.


The first part of the book is an exposition of advanced stochastic calculus. It defines the theoretical framework for the pricing and hedging of contingent claims with a special focus on interest rate markets. The second part is a mathematically biased market-oriented description of the most famous interest rate models and a variety of interest rate derivatives. It covers a selection of short and long-term oriented risk measures as well as their application to the risk management of interest rate portfolios. Interesting and comprehensive case studies based on real market data are provided to illustrate the theoretical concepts and to illuminate their practical usefulness.

Product details

• Authors: Rudi Zagst
• Publisher: Springer EN
• Languages: English
• Product format: Hardback
• Released: 24.04.2002
• EAN: 9783540675945
• ISBN: 978-3-540-67594-5
• No. of pages: 341
• Weight: 1510 g
• Illustrations: XV, 341 p.
• Series: Springer Finance
• Subjects: Social sciences, law, business > Business > Economics; Analysis, B, Finance, Finance, general, Mathematics and Statistics, Finance & accounting, Probability Theory and Stochastic Processes, Financial Economics, Probability & statistics, Probabilities, Stochastics, Probability Theory, Calculus & mathematical analysis, Economics, Mathematical, Quantitative Finance, Mathematics in Business, Economics and Finance, Analysis (Mathematics), Mathematical analysis