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Interest Rate Modeling: Theory and Practice
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Interest Rate Modeling: Theory and Practice
Current price: $110.00
Barnes and Noble
Interest Rate Modeling: Theory and Practice
Current price: $110.00
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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
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
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
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
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