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Interest Rate Modeling : Theory and Practice. 3rd ed. 金利モデリング－理論と実際 第3版
・ISBN 978-1-032-48355-9 hard GB£ 103.99
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-003-38910-1
| 著者・編者 | Wu, Lixin, |
|---|---|
| シリーズ | Chapman and Hall/CRC Financial Mathematics Series |
| 出版社 | (Routledge, UK) |
| 出版年月 | 2024.08 |
| ページ数 | 425 pp. |
| 言語 | ENG |
| ニュース番号 | ＜723-165 723-194＞ |
解説
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 models
- Provides a systematic treatment of intriguing industrial issues, such as volatility smiles 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 Third edition
- Introduction of Fed fund market and Fed fund futures
- Replacement 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 markets
- New chapters on LIBOR Transition and SOFR Derivatives Markets