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    Interest Rate Modeling: Theory and Practice, 3rd Edition

    Posted By: yoyoloit
    Interest Rate Modeling: Theory and Practice, 3rd Edition

    Interest Rate Modeling: Theory and Practice: Third Edition
    by Lixin Wu

    English | 2024 | ISBN: 1032483555 | 436 pages | True PDF | 6.34 MB




    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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