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+---- Téma: Interest Rate Modeling Theory and Practice, 3rd Edition (/showthread.php?tid=117927)
RE: Interest Rate Modeling Theory and Practice, 3rd Edition - OS9999 - 2024-09-10
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Free Download Interest Rate Modeling: Theory and Practice: Third Edition
by Lixin Wu
English | 2024 | ISBN: 1032483555 | 436 pages | True PDF | 6.34 MB
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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