Items related to Interest Rate Modeling (Chapman and Hall/CRC Financial...
Synopsis
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
"synopsis" may belong to another edition of this title.
About the Author
Lixin Wu earned his PhD in applied mathematics from UCLA in 1991. Originally a specialist in numerical analysis, he switched his area of focus to financial mathematics in 1996. Since then, he has made notable contributions to the area. He co-developed the PDE model for soft barrier options and the finitestate Markov chain model for credit contagion. He is, perhaps, best known in the financial engineering community for a series of works on market models, including an optimal calibration methodology for the standard market model, a market model with square-root volatility, a market model for credit derivatives, a market model for in inflation derivatives, and a dual-curve SABR market model for post-crisis derivatives markets. He also has made valuable contributions to the topic of xVA. Over the years, Dr. Wu has been a consultant for financial institutions and a lecturer for Risk Euromoney and Marco Evans, two professional education agencies. He is currently a full professor at the Hong Kong University of Science and Technology.
"About this title" may belong to another edition of this title.
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Hardcover. Condition: new. Hardcover. 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.FeaturesPresents a complete cycle of model construction and applications, showing readers how to build and use modelsProvides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustmentsContains exercise sets and a number of examples, with many based on real market dataIncludes 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 futuresReplacement 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 marketsNew chapters on LIBOR Transition and SOFR Derivatives Markets Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of this book portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9781032483559
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Hardcover. Condition: new. Hardcover. 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.FeaturesPresents a complete cycle of model construction and applications, showing readers how to build and use modelsProvides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustmentsContains exercise sets and a number of examples, with many based on real market dataIncludes 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 futuresReplacement 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 marketsNew chapters on LIBOR Transition and SOFR Derivatives Markets Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of this book portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Seller Inventory # 9781032483559
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