Interest Rate Modeling
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Interest Rate Modeling

Interest Rate Modeling


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International Edition


About the Book

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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Product Details
  • ISBN-13: 9781032483559
  • Publisher: CRC Press
  • Binding: Hardback
  • Language: English
  • Returnable: N
  • Sub Title: Theory and Practice
  • Width: 156 mm
  • ISBN-10: 1032483555
  • Publisher Date: 31 Aug 2024
  • Height: 234 mm
  • No of Pages: 448
  • Spine Width: 24 mm
  • Weight: 834 gr


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