03084cam a2200481M 4500 9781003389101 FlBoTFG 20251030122308.0 m o d cr |n||||||||| 240706s2024 xx o 0|| 0 eng d OCoLC-P eng OCoLC-P 9781040103128 (electronic bk.) 104010312X (electronic bk.) 9781003389101 (electronic bk.) 1003389104 (electronic bk.) 9781040103074 (electronic bk. : PDF) 1040103073 (electronic bk. : PDF) 1032483555 9781032483559 10.1201/9781003389101 doi (OCoLC)1443763052 (OCoLC-P)1443763052 HG6024.5 BUS 027000 bisacsh PBW bicssc Wu, Lixin, 1961- author. https://id.oclc.org/worldcat/entity/E39PCjM8tPbcHJQVCGvVB3WTwP 96253 INTEREST RATE MODELING [electronic resource] : theory and practice. Third edition. [S.l.] : CHAPMAN & HALL CRC, 2024. 1 online resource Chapman and Hall/CRC financial mathematics series 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 OCLC-licensed vendor bibliographic record. Interest rates Mathematical models. 96254 Interest rate futures Mathematical models. 96255 BUSINESS & ECONOMICS / Finance bisacsh 64516 Taylor & Francis https://www.taylorfrancis.com/books/9781003389101 OCLC metadata license agreement http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf E-Books 68315 68315