Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)
by: Lixin Wu (Author)
Publisher: Chapman and Hall/CRC
Edition: 3rd
Publication Date: 2024/8/27
Language: English
Print Length: 425 pages
ISBN-10: 1032483555
ISBN-13: 9781032483559
Book Description
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.FeaturesPresents a complete cycle of model construction and applications, showing readers how to build and use modelsProvides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustmentsContains exercise sets and a number of examples, with many based on real market dataIncludes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustmentNew to the Third editionIntroduction of Fed fund market and Fed fund futuresReplacement 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 marketsNew chapters on LIBOR Transition and SOFR Derivatives Markets
About the Author
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.FeaturesPresents a complete cycle of model construction and applications, showing readers how to build and use modelsProvides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustmentsContains exercise sets and a number of examples, with many based on real market dataIncludes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustmentNew to the Third editionIntroduction of Fed fund market and Fed fund futuresReplacement 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 marketsNew chapters on LIBOR Transition and SOFR Derivatives Markets Read more