Interest rate modeling : theory and practice

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Interest rate modeling : theory and...

Interest rate modeling : theory and practice

Name: Interest rate modeling : theory and practice
ISBN: 9781351227421

Wu, Lixin

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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 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.

หมวดหมู่:

Science (General)

ปี:

2019

ฉบับพิมพ์ครั้งที่:

Second edition.

สำนักพิมพ์:

CRC Press

ภาษา:

english

ISBN 10:

1351227424