TY  - BOOK
AU  - Wu,Lixin
TI  - INTEREST RATE MODELING: theory and practice
T2  - Chapman and Hall/CRC financial mathematics series
SN  - 9781040103128
AV  - HG6024.5 
PY  - 2024///
CY  - [S.l.]
PB  - CHAPMAN & HALL CRC
KW  - Interest rates
KW  - Mathematical models
KW  - Interest rate futures
KW  - BUSINESS & ECONOMICS / Finance
KW  - bisacsh
N2  - 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
UR  - https://www.taylorfrancis.com/books/9781003389101
UR  - http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf
ER  -