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Interest rate modeling : theory and practice

Author: Lixin Wu
Publisher: Boca Raton : CRC Press, ©2009.
Series: Chapman & Hall/CRC financial mathematics series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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.  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Wu, Lixin, 1961-
Interest rate modeling.
Boca Raton : CRC Press, ©2009
(DLC) 2009009975
(OCoLC)229022674
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Lixin Wu
ISBN: 9781420090574 1420090577
OCLC Number: 862954803
Notes: "A Chapman & Hall book."
Description: 1 online resource (xix, 333 pages) : illustrations.
Contents: Front cover; Contents; Preface; Acknowledgments; Author; Chapter 1. The Basics of Stochastic Calculus; Chapter 2. The Martingale Representation Theorem; Chapter 3. Interest Rates and Bonds; Chapter 4. The Heath-Jarrow-Morton Model; Chapter 5. Short-Rate Models and Lattice Implementation; Chapter 6. The LIBOR Market Model; Chapter 7. Calibration of LIBOR Market Model; Chapter 8. Volatility and Correlation Adjustments; Chapter 9. Affine Term Structure Models; Referenes; Index; Back cover.
Series Title: Chapman & Hall/CRC financial mathematics series.
Responsibility: Lixin Wu.

Abstract:

Portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. This title introduces different models with financial-economical justifications,  Read more...

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"The book presents in a balanced way both theory and applications of interest rate modeling. ...The book can serve as a textbook. It is self-contained in mathematics and presents rigorous Read more...

 
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