Description

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.

Interest Rate Modeling: Theory and Practice, Second Edition

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£105.00

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Hardback by Lixin Wu

1 in stock

Description:

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice,... Read more

    Publisher: Taylor & Francis Inc
    Publication Date: 25/02/2019
    ISBN13: 9780815378914, 978-0815378914
    ISBN10: 0815378912

    Number of Pages: 494

    Non Fiction , Business, Finance & Law

    Description

    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.

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