Interest Rate Modeling Theory And Practice | Mathematics

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 |Interest Rate Modeling Theory and Practice | Mathematics