Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products.A series of introductory chapters reviews the theoretical background, pointing out the problems in using nave valuation and implementation techniques. There follow as full analysis of interest rate models including major categories, such as affine, HJM and market models, and in addition, lesser will know types that include Consol, random field and jump-augmented models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, lattice and Monte Carlo methods and their particular application ot the valuation of interest rate derivatives.Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementation models for real and for academics teaching and researching in the field.