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This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.Features:detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being tradedoverview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models)explanation of numeraires as a modelling and pricing toolpricing models for constant maturity swaps and other convexity productsmodels and efficient algorithms for path-dependent and Bermudan swaptionsinsights into how to go about pricing products beyond those treated in the textaccessible yet rigorous treatment of the stochastic calculus required for option pricing

Derivative securities --- Instruments dérivés (Finances) --- Derivative securities. --- 332.632 --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Instruments dérivés (Finances)