Interest Rate Modeling: Theory and Practice

di Lixin Wu (Autore)

Taylor & Francis Ltd, 2024

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

• Autore: Lixin Wu
• Editore: Taylor & Francis Ltd
• Collana: Chapman and Hall/CRC Financial Mathematics Series
• Anno: 2024
• Rilegatura: Hardback
• Pagine: 425 p.
• Dimensioni: 234 x 156 mm
• Peso: 970 gr.
• EAN: 9781032483559

Testo in English