Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

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9781420090567: Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

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

The text begins with the mathematical foundations, including Ito’s calculus and the martingale representation theorem. It then introduces bonds and bond yields, followed by the Heath–Jarrow–Morton (HJM) model, which is the framework for no-arbitrage pricing models. The next chapter focuses on when the HJM model implies a Markovian short-rate model and discusses the construction and calibration of short-rate lattice models. In the chapter on the LIBOR market model, the author presents the simplest yet most robust formula for swaption pricing in the literature. He goes on to address model calibration, an important aspect of model applications in the markets; industrial issues; and the class of affine term structure models for interest rates.

Taking a top-down approach, Interest Rate Modeling provides readers with a clear picture of this important subject by not overwhelming them with too many specific models. The text captures the interdisciplinary nature of the field and shows readers what it takes to be a competent quant in today’s market.

This book can be adopted for instructional use. For this purpose, a solutions manual is available for qualifying instructors.

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About the Author:

Lixin Wu is an associate professor at the Hong Kong University of Science and Technology. Best known in the financial engineering community for his work on market models, Dr. Wu co-developed the PDE model for soft barrier options and the finite-state Markov model for credit contagion.

Review:

"The book presents in a balanced way both theory and applications of interest rate modeling. ...The book can serve as a textbook. It is self-contained in mathematics and presents rigorous justifications for almost all results. Many exercises are provided which often require computer implementation. To a large extent, this book can also serve as a research monograph as it contains many new results. The book shows the readers what has to be a competent quantitative analysis in financial markets."
―Pavel Stoynov, Zentralblatt MATH 1173

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