Interest rate modeling : theory and practice / Lixin Wu.
Material type:
TextSeries: Chapman & Hall/CRC financial mathematics seriesPublisher: Boca Raton, Florida : CRC Press, [2019]Edition: Second editionDescription: 1 online resourceContent type: text Media type: computer Carrier type: online resourceISBN: 9781351227421; 1351227424; 9781351227407; 1351227408; 9781351227391; 1351227394; 9781351227414; 1351227416Subject(s): Interest rates -- Mathematical models | Interest rate futures -- Mathematical models | MATHEMATICS / General | BUSINESS & ECONOMICS / Finance | MATHEMATICS / Probability & Statistics / GeneralDDC classification: 332.801/5195 LOC classification: HG6024.5 | .W82 2019ebOnline resources: Taylor & Francis | OCLC metadata license agreement Summary: 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.
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.
OCLC-licensed vendor bibliographic record.