INTEREST RATE MODELING theory and practice.
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 computati...
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| Format: | eBook |
| Language: | English |
| Published: |
[S.l.] :
CHAPMAN & HALL CRC,
2024.
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| Edition: | Third edition. |
| Series: | Chapman and Hall/CRC financial mathematics series
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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 |
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| Physical Description: | 1 online resource |
| ISBN: | 9781040103128 104010312X 9781003389101 1003389104 9781040103074 1040103073 |