Interest Rate Modelling by Jessica James, Nick Webber

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Dr Neil Johnson, Clarendon Laboratory, Oxford# "Today, interest rates are key economic instruments. This is a mammoth treatise and must surely rank as one of the most comprehensive available on the topic. Anyone interested in modelling or simulating the behaviour of interest rates, be they practitioner, economist, mathematician or new entrant to the subject, will find within a wealth of pertinent material.", Professor Peter Richmond, Trinity College Dublin#

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