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Interest Rate Modeling: Theory and Practice, Second Edition by Lixin Wu at Abbey's Bookshop,
Interest Rate Modeling: Theory and Practice, Second Edition
— —
Lixin Wu

Interest Rate Modeling

Theory and Practice, Second Edition

Lixin Wu

$83.99

Paperback

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English
CRC Press
30 September 2020
Economic statistics; Finance; Mathematical modelling
Series: Chapman and Hall/CRC Financial Mathematics Series
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.

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 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 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.
By:  
Imprint:   CRC Press
Country of Publication:   United Kingdom
Edition:   2nd edition
Dimensions:   Height: 234mm,  Width: 156mm, 
Weight:   960g
ISBN:   9780367656553
ISBN 10:   0367656558
Series:   Chapman and Hall/CRC Financial Mathematics Series
Pages:   494
Publication Date:  
Audience:   College/higher education ,  Primary
Format:   Paperback
Publisher's Status:   Active

Lixin Wu is a professor at the Hong Kong University of Science and Technology. Best known in the financial engineering community for his work on market models, Dr. Wu co-developed the PDE model for soft barrier options and the finite-state Markov model for credit contagion.

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