theory and practice Wu, Lixin 1961- creator author. text xx S.l.] CHAPMAN & HALL CRC 2024 Third edition. monographic eng

electronic resource

1 online resource 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 Interest rates Mathematical models Interest rate futures Mathematical models BUSINESS & ECONOMICS / Finance HG6024.5 9781040103128 104010312X 9781003389101 1003389104 9781040103074 1040103073 https://www.taylorfrancis.com/books/9781003389101 http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf https://www.taylorfrancis.com/books/9781003389101 http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf OCoLC-P 240706 20251030122308.0 9781003389101 eng