Interest Rate Modeling e-bog
348,37 DKK
(inkl. moms 435,46 DKK)
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 e...
E-bog
348,37 DKK
Forlag
CRC Press
Udgivet
4 marts 2019
Længde
494 sider
Genrer
KCHS
Sprog
English
Format
epub
Beskyttelse
LCP
ISBN
9781351227407
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.FeaturesPresents 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 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 adjustmentNew to the 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.