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Interest Rate Modeling
- Theory and Practice
Af: Lixin Wu
Engelsk
Bogcover for Interest Rate Modeling af Lixin Wu, 9781032483559
Specifikationer
Sprog:
Engelsk
Sider:
425
ISBN-13:
9781032483559
Indbinding:
Hardback
Udgave:
3
ISBN-10:
1032483555
Udg. Dato:
27 aug 2024
Størrelse i cm:
23,4 x 15,6
Oplagsdato:
27 aug 2024
Forfatter(e):

Interest Rate Modeling

- Theory and Practice
Af: Lixin Wu
Engelsk
Hardback 2024
Format:

Bog beskrivelse

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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806 kr
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Specifikationer
Sprog:
Engelsk
Sider:
425
ISBN-13:
9781032483559
Indbinding:
Hardback
Udgave:
3
ISBN-10:
1032483555
Udg. Dato:
27 aug 2024
Størrelse i cm:
23,4 x 15,6
Oplagsdato:
27 aug 2024
Forfatter(e):
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