Lixin Wu

Gebundenes Buch

Interest Rate Modeling

Theory and Practice

Beschreibung

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 modelsProvides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustmentsContains exercise sets and a number of examples, with many based on real market dataIncludes 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 futuresReplacement 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 marketsNew chapters on LIBOR Transition and SOFR Derivatives Markets

Autor

Lixin Wu earned his PhD in applied mathematics from UCLA in 1991. Originally a specialist in numerical analysis, he switched his area of focus to financial mathematics in 1996. Since then, he has made notable contributions to the area. He co-developed the PDE model for soft barrier options and the finitestate Markov chain model for credit contagion. He is, perhaps, best known in the financial engineering community for a series of works on market models, including an optimal calibration methodology for the standard market model, a market model with square-root volatility, a market model for credit derivatives, a market model for in inflation derivatives, and a dual-curve SABR market model for post-crisis derivatives markets. He also has made valuable contributions to the topic of xVA. Over the years, Dr. Wu has been a consultant for financial institutions and a lecturer for Risk Euromoney and Marco Evans, two professional education agencies. He is currently a full professor at the Hong Kong University of Science and Technology.

Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Chapman and Hall/CRC / Taylor & Francis
• 3. Aufl.
• Seitenzahl: 436
• Erscheinungstermin: 27. August 2024
• Englisch
• Abmessung: 240mm x 161mm x 28mm
• Gewicht: 970g
• ISBN-13: 9781032483559
• ISBN-10: 1032483555
• Artikelnr.: 70151820

Rezensionen

"A part of the Chapman & Hall/CRC Financial Mathematics series, Professor Lixin Wu's "Interest Rate Modeling: Theory and Practice, third edition" is a premier and solidly recommended acquisitions choice for corporate and college/university library Economics/Mathematics collections and as a supplemental Economics curriculum textbook."

-Midwest Book Review