Interest Rate Modeling (eBook)

Theory and Practice

Lixin Wu (Autor)

eBook Download: EPUB

2024
439 Seiten
CRC Press (Verlag)
978-1-040-10312-8 (ISBN)

Infos

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

Produkt-Details

• Erscheint lt. Verlag: 27.8.2024
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• ISBN-10: 1-040-10312-X / 104010312X
• ISBN-13: 978-1-040-10312-8 / 9781040103128