Interest Rate Modeling

Name: Interest Rate Modeling
Brand: CRC Press
Price: 146.99 AUD
Availability: PreOrder

Theory and Practice

By: Lixin Wu

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eBook | 27 August 2024

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$146.99

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Available: 27th August 2024

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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