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Interest Rate Modeling: Theory and Practice, Second Edition (Chapman and Hal...

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US $118.00
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eBay item number:127196535638
Last updated on 22 Jul, 2025 18:51:40 BSTView all revisionsView all revisions

Item specifics

Condition
Very Good: A book that has been read and does not look new, but is in excellent condition. No ...
Release Year
2019
Book Title
Interest Rate Modeling: Theory and Practice, Second Edition (C...
ISBN
9780815378914

About this product

Product Identifiers

Publisher
CRC Press LLC
ISBN-10
0815378912
ISBN-13
9780815378914
eBay Product ID (ePID)
19038432334

Product Key Features

Number of Pages
496 Pages
Language
English
Publication Name
Interest Rate Modeling
Subject
Interest, Probability & Statistics / General, Finance / General, General
Publication Year
2019
Type
Textbook
Subject Area
Mathematics, Business & Economics
Author
Lixin Wu
Series
Chapman and Hall/Crc Financial Mathematics Ser.
Format
Hardcover

Dimensions

Item Height
1.3 in
Item Length
9.4 in
Item Width
6.4 in

Additional Product Features

Edition Number
2
Intended Audience
College Audience
LCCN
2018-050904
Dewey Edition
22
Illustrated
Yes
Dewey Decimal
332.8015195
Table Of Content
1. The Basics of Stochastic Calculus 2. The Martingale Representation Theorem 3. Interest Rates and Bonds 4. The Heath-Jarrow-Morton Model 5. Short-Rate Models and Lattice Implementation 6. The LIBOR Market Model 7. Calibration of LIBOR Market Model 8. Volatility and Correlation Adjustments 9. Affine Term Structure Models 10. The Market Model for Inflation-Rate Derivatives. 11. Levy Market Model 12. Market Model for Inflation Derivatives Modeling 13. Market Model for Credit Derivatives 14. Dual-Curve Market Models for Post-Crisis Interest Rate Derivatives Markets 15. xVA Definition, Evaluation and Risk Management
Synopsis
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., 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. 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.
LC Classification Number
HG6024.5.W82 2019

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