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portada Interest Rate Modeling: Theory and Practice (Chapman and Hall
Type
Physical Book
Publisher
Author
Language
English
Pages
448
Format
Hardcover
ISBN13
9781032483559
Edition No.
3

Interest Rate Modeling: Theory and Practice (Chapman and Hall

Wu Lixin (Author) · Crc Press · Hardcover

Interest Rate Modeling: Theory and Practice (Chapman and Hall - Wu Lixin

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Synopsis "Interest Rate Modeling: Theory and Practice (Chapman and Hall"

Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods.Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment. New to the Third edition Introduction of Fed fund market and Fed fund futures Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets New chapters on LIBOR Transition and SOFR Derivatives Markets.

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