Details
Interest Rate Modeling
Theory and Practice, Second EditionChapman and Hall/CRC Financial Mathematics Series
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53,73 € |
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| Verlag: | Crc Press |
| Format: | EPUB, PDF |
| Veröffentl.: | 04.03.2019 |
| ISBN/EAN: | 9781351227407 |
| Sprache: | englisch |
| Anzahl Seiten: | 494 |
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Beschreibungen
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.FeaturesPresents a complete cycle of model construction and applications, showing readers how to build and use modelsProvides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustmentsContains exercise sets and a number of examples, with many based on real market dataIncludes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustmentNew 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.
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