TY  - BOOK
AU  - Wu,Lixin
TI  - Interest rate modeling: theory and practice 
T2  - Chapman & Hall/CRC financial mathematics series
SN  - 9781351227421
AV  - HG6024.5 .W82 2019eb
U1  - 332.801/5195 23
PY  - 2019///]
CY  - Boca Raton, Florida
PB  - CRC Press
KW  - Interest rates
KW  - Mathematical models
KW  - Interest rate futures
KW  - MATHEMATICS / General
KW  - bisacsh
KW  - BUSINESS & ECONOMICS / Finance
KW  - MATHEMATICS / Probability & Statistics / General
N2  - 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
UR  - https://www.taylorfrancis.com/books/9781351227421
UR  - http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf
ER  -