Interest Rate Modeling: Theory And Practice
Containing many results that are new, or which 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. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Incorporates high-power numerical methodologies Provides a systematic treatment of intriguing industrial issues, such as volatility 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 2nd Edition: new topics highly relevant to the post-crisis market. Discussion of the dual-curved model developed by the author.
- Condition: --
HPB condition ratings
- New: Item is brand new, unused and unmarked, in flawless condition.
- Fine/Like New (F): No defects, little usage. May show remainder marks. Older books may show minor flaws.
- Very Good (VG): Shows some signs of wear and is no longer fresh. Attractive. Used textbooks do not come with supplemental materials.
- Good (G): Average used book with all pages present. Possible loose bindings, highlighting, cocked spine or torn dust jackets. Used textbooks do not come with supplemental materials.
- Fair (FR): Obviously well-worn, but no text pages missing. May be without endpapers or title page. Markings do not interfere with readability. Used textbooks do not come with supplemental materials.
- Poor (P): All text is legible but may be soiled and have binding defects. Reading copies and binding copies fall into this category. Used textbooks do not come with supplemental materials.
- Format: Hardcover
- Sold by: --
- Language: English
- Publisher: CRC Pr I Llc
- ISBN-13: 9780815378914
- ISBN: 0815378912
- Publication Year: 2019
- Edition: 2 New