Wu L Interest Rate Modeling Theory and Practice 3ed 2025
General:
Name: Wu L Interest Rate Modeling Theory and Practice 3ed 2025
Format: pdf
Size: 6.34 MB
Book:
Title: Interest Rate Modeling: Theory and Practice: Third Edition
Author: Lixin Wu
Language: polski
Year: 2024
Subjects: Business, Professional Finance & Investing, Finance – General & Miscellaneous
Publisher: CRC Press
ISBN: 9781032483559
Total pages: 436
Description:
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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