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Interest Rates and Related Contracts

  • Marek Musiela
  • Marek Rutkowski
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 36)

By a fixed-income market we mean that sector of the global financial market on which various interest rate-sensitive instruments, such as bonds, swaps, swaptions, caps, etc. are traded. In real-world practice, several fixed-income markets operate; as a result, many concepts of interest rates have been developed. There is no doubt that management of interest rate risk, by which we mean the control of changes in value of a stream of future cash flows resulting from changes in interest rates, or more specifically the pricing and hedging of interest rate products, is an important and complex issue. It creates a demand for mathematical models capable of covering all sorts of interest rate risks.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Marek Musiela
    • 1
  • Marek Rutkowski
    • 2
  1. 1.BNP ParibasLondonUK
  2. 2.Inst. MathematicsTechnical University WarszawaWarszawaPoland

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