Interest Rate Modeling - Couverture rigide

Wu, Lixin

Couverture rigide

ISBN 10 : 1032483555 ISBN 13 : 9781032483559

Editeur : Chapman and Hall/CRC, 2024

Synopsis

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

A propos du livre

À propos de l?auteur

Lixin Wu earned his PhD in applied mathematics from UCLA in 1991. Originally a specialist in numerical analysis, he switched his area of focus to financial mathematics in 1996. Since then, he has made notable contributions to the area. He co-developed the PDE model for soft barrier options and the finitestate Markov chain model for credit contagion. He is, perhaps, best known in the financial engineering community for a series of works on market models, including an optimal calibration methodology for the standard market model, a market model with square-root volatility, a market model for credit derivatives, a market model for in inflation derivatives, and a dual-curve SABR market model for post-crisis derivatives markets. He also has made valuable contributions to the topic of xVA. Over the years, Dr. Wu has been a consultant for financial institutions and a lecturer for Risk Euromoney and Marco Evans, two professional education agencies. He is currently a full professor at the Hong Kong University of Science and Technology.

Détails de l'édition

• Éditeur: Chapman and Hall/CRC
• Date d'édition: 2024
• Langue: anglais
• ISBN 10: 1032483555
• ISBN 13: 9781032483559
• Reliure: Relié
• Numéro d'édition: 3
• Nombre de pages: 436
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible