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Interest Rate Modeling
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kr 408
Interest Rate Modeling

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd 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 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 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.
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Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd 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 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 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.
Produktdetaljer
Sprog: Engelsk
Sider: 494
ISBN-13: 9780815378914
Indbinding: Hardback
Udgave:
ISBN-10: 0815378912
Kategori: Finans
Udg. Dato: 25 feb 2019
Længde: 36mm
Bredde: 162mm
Højde: 241mm
Oplagsdato: 25 feb 2019
Forfatter(e) Lixin Wu, Lixin (University of Science & Technology Wu


Kategori Finans


Sprog Engelsk


Indbinding Hardback


Sider 494


Udgave


Længde 36mm


Bredde 162mm


Højde 241mm

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