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.
"synopsis" may belong to another edition of this title.
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
"About this title" may belong to another edition of this title.
Book Description Book Condition: New. New. International edition. Different ISBN and Cover image but contents are same as US edition. Perfect condition. Customer satisfaction our priority. Bookseller Inventory # ABE-FEB-85560
Book Description Book Condition: New. New. International edition. Different ISBN and Cover image but contents are same as US edition. Perfect condition. Customer satisfaction our priority. Bookseller Inventory # ABE-BOOK-85560
Book Description Book Condition: Brand New. New. SoftCover International edition. Different ISBN and Cover image but contents are same as US edition. Customer Satisfaction guaranteed!!. Bookseller Inventory # SHUB85560
Book Description Book Condition: Brand New. New, SoftCover International edition. Different ISBN and Cover image but contents are same as US edition. Excellent Customer Service. Bookseller Inventory # ABEUSA-85560
Book Description Chapman and Hall/CRC, 2009. HRD. Book Condition: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Bookseller Inventory # F9-9781420090567
Book Description Taylor and Francis, 2009. HRD. Book Condition: New. New Book. Shipped from US within 10 to 14 business days. Established seller since 2000. Bookseller Inventory # VT-9781420090567
Book Description Chapman and Hall/CRC, 2016. Paperback. Book Condition: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Bookseller Inventory # ria9781420090567_lsuk
Book Description Chapman and Hall/CRC, 2017. Hardback. Book Condition: NEW. 9781420090567 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Print on Demand title, produced to the highest standard, and there would be a delay in dispatch of around 10 working days. Bookseller Inventory # HTANDREE0249648
Book Description Chapman and Hall/CRC, 2009. Hardcover. Book Condition: New. Bookseller Inventory # INGM9781420090567
Book Description Chapman & Hall, 2009. Hardcover. Book Condition: Brand New. 1st edition. 353 pages. 9.45x6.38x0.83 inches. In Stock. Bookseller Inventory # __1420090569