Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series) - Image 1

£80.47

Chapman and Hall/CRC Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

Name: Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)
Brand: Chapman and Hall/CRC
Price: 80.47 GBP
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Applied Mathematics

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Description

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

Product Specifications

Brand: Chapman and Hall/CRC
Format: hardcover
ASIN: 1032483555
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Applied Mathematics
Domain: Amazon UK
Release Date: 31 August 2024
Listed Since: 21 February 2024

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Chapman and Hall/CRC Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

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