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Interest Rate Modeling : Theory and Practice

By: (Author) Lixin Wu

Manufacture on Demand

Ksh 15,000.00

Format: Hardback or Cased Book

ISBN-10: 1032483555

ISBN-13: 9781032483559

Edition Number: 3

Series: Chapman and Hall/CRC Financial Mathematics Series

Publisher: Taylor & Francis Ltd

Imprint: Chapman & Hall/CRC

Country of Manufacture: GB

Country of Publication: GB

Publication Date: Aug 27th, 2024

Print length: 425 Pages

Weight: 970 grams

Product Classification: Econometrics
Economic statistics
Finance & accounting
Finance
Mathematics

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  • Description

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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.

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

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