Interest Rate Modeling: Theory and Practice, Second Edition

Wu, Lixin

  • 出版商: CRC
  • 出版日期: 2020-09-30
  • 售價: $2,050
  • 貴賓價: 9.5$1,948
  • 語言: 英文
  • 頁數: 494
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 0367656558
  • ISBN-13: 9780367656553
  • 海外代購書籍(需單獨結帳)

相關主題

商品描述

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.

作者簡介

Lixin Wu is a professor at the Hong Kong University of Science and Technology. Best known in the financial engineering community for his work on market models, Dr. Wu co-developed the PDE model for soft barrier options and the finite-state Markov model for credit contagion.