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Books > Business & Money > Economics > Interest > 1420090569
  1. Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)
    Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)
    Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)
    Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)
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  2. Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

    [1420090569]
    Delivery: 10-20 Working Days
    Customer Ratings (4 USA reviews)
    Price R2329.00

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Additional Information

Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice 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.

The text begins with the mathematical foundations, including Ito’s calculus and the martingale representation theorem. It then introduces bonds and bond yields, followed by the Heath–Jarrow–Morton (HJM) model, which is the framework for no-arbitrage pricing models. The next chapter focuses on when the HJM model implies a Markovian short-rate model and discusses the construction and calibration of short-rate lattice models. In the chapter on the LIBOR market model, the author presents the simplest yet most robust formula for swaption pricing in the literature. He goes on to address model calibration, an important aspect of model applications in the markets; industrial issues; and the class of affine term structure models for interest rates.

Taking a top-down approach, Interest Rate Modeling provides readers with a clear picture of this important subject by not overwhelming them with too many specific models. The text captures the interdisciplinary nature of the field and shows readers what it takes to be a competent quant in today’s market.

This book can be adopted for instructional use. For this purpose, a solutions manual is available for qualifying instructors.

Specifications

Country
USA
Author
Lixin Wu
Binding
Hardcover
Brand
Brand: Chapman and Hall/CRC
EAN
9781420090567
Edition
1
Feature
Used Book in Good Condition
ISBN
1420090569
Label
Chapman and Hall/CRC
Manufacturer
Chapman and Hall/CRC
NumberOfItems
1
NumberOfPages
354
PublicationDate
2009-05-14
Publisher
Chapman and Hall/CRC
Studio
Chapman and Hall/CRC
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