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
New to the Third edition
| ISBN: | 9781032483559 |
| Publication date: | 27th August 2024 |
| Author: | Lixin Wu |
| Publisher: | Chapman & Hall/CRC an imprint of CRC Press |
| Format: | Hardback |
| Pagination: | 425 pages |
| Series: | Chapman & Hall/CRC Financial Mathematics Series |
| Genres: |
Applied mathematics Probability and statistics Econometrics and economic statistics Finance and accounting |
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
Interest Rate Modeling features in the following genres: Applied mathematics, Probability and statistics, Econometrics and economic statistics, Finance and accounting
Hardback, Paperback, Ebook. £93.59, down from the £103.99 cover price. Not Available.
Interest Rate Modeling was written by Lixin Wu and published by Chapman & Hall/CRC an imprint of CRC Press
Interest Rate Modeling has 425 pages
Yes it is part of Chapman & Hall/CRC Financial Mathematics Series series
£93.59, reduced from £103.99. Not Available.