Interest Rate Modeling : Theory and Practice, Second Edition Paperback / softback
by Lixin Wu
Part of the Chapman and Hall/CRC Financial Mathematics Series series
Paperback / softback
Description
Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd 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 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 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.
Information
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Only a few left - usually despatched within 24 hours
- Format:Paperback / softback
- Pages:494 pages
- Publisher:Taylor & Francis Ltd
- Publication Date:30/09/2020
- Category:
- ISBN:9780367656553
Other Formats
- Hardback from £110.00
- EPUB from £35.99
- PDF from £35.99
Information
-
Only a few left - usually despatched within 24 hours
- Format:Paperback / softback
- Pages:494 pages
- Publisher:Taylor & Francis Ltd
- Publication Date:30/09/2020
- Category:
- ISBN:9780367656553