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  • Interest Rate Modeling: Theory and Practice, Second Edition (Chapman and Hall/CRC Financial Mathematics Series) (Paperback – Import, 30 September 2020)
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Lixin Wu

Interest Rate Modeling: Theory and Practice, Second Edition (Chapman and Hall/CRC Financial Mathematics Series) (Paperback – Import, 30 September 2020)

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Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Editionportrays 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.
    • Publisher ‏ : ‎ CRC Press; 2nd edition (30 September 2020)
    • Language ‏ : ‎ English
    • Paperback ‏ : ‎ 494 pages
    • ISBN-10 ‏ : ‎ 0367656558
    • ISBN-13 ‏ : ‎ 978-0367656553
    • Item Weight ‏ : ‎ 454 g
    • Dimensions ‏ : ‎ 15.6 x 23.37 cm
    • Country of Origin ‏ : ‎ India

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