Interest Rate Modeling
Theory and Practice, Second Edition
By Lixin Wu
"Interest Rate Modeling" was published by Taylor & Francis Group in 2019 - Boca Raton London New York, it has 494 pages and the language of the book is English.
“Interest Rate Modeling” Metadata:
- Title: Interest Rate Modeling
- Author: Lixin Wu
- Language: English
- Number of Pages: 494
- Publisher: Taylor & Francis Group
- Publish Date: 2019
- Publish Location: Boca Raton London New York
“Interest Rate Modeling” Subjects and Themes:
- Subjects: ➤ Interest rates - Mathematical models - Interest rate futures - Taux d'intérêt - Modèles mathématiques - Marchés à terme de taux d'intérêt - MATHEMATICS / General - BUSINESS & ECONOMICS / Finance - MATHEMATICS / Probability & Statistics / General
Edition Identifiers:
- The Open Library ID: OL33751650M - OL25145158W
- ISBN-13: 9781351227414 - 9781351227407 - 9781351227391 - 9781351227421
- All ISBNs: 9781351227414 - 9781351227407 - 9781351227391 - 9781351227421
AI-generated Review of “Interest Rate Modeling”:
"Interest Rate Modeling" Description:
Open Data:
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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