Interest Rate Modeling
Theory and Practice, Second Edition
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. Les mer
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.
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.
Detaljer
- Forlag
- CRC Press
- Innbinding
- Paperback
- Språk
- Engelsk
- Sider
- 494
- ISBN
- 9780367656553
- Utgave
- 2. utg.
- Utgivelsesår
- 2020
- Format
- 23 x 16 cm
Kunders vurdering
Skriv en vurdering
Oppdag mer
Bøker som ligner på Interest Rate Modeling:
Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes
Cornelis W OosterleeInnbundet
1305,-