Modern Interest Rate Theory

The theory of interest rates is presented here from a modern perspective, along with a variety of applications. The book begins with an exposition of the probabilistic foundations needed later. The mathematical framework develoepd is sufficiently rich to cover a wide variety of applicable financial models. The theory of asset pricing is developed from the modern pricing kernel viewpoint rather than the usual hedging approach. Various types of interest rates, the associated market conventions and interest rate derivative structures can then be tackled.Brody, D. C. is the author of 'Modern Interest Rate Theory', published 2008 under ISBN 9780521867023 and ISBN 0521867029.