Interest Rate Modeling: Theory and Practice, Second Edition 2nd Edition

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd 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 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

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