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- 439 pages
- English
- ePUB (mobile friendly)
- Only available on web
eBook - ePub
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About This Book
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
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Table of contents
- Cover Page
- Half-Title Page
- Series Page
- Title Page
- Copyright Page
- Dedication Page
- Contents
- Preface to the First Edition
- Preface to the Second Edition
- Preface to the Third Edition
- Acknowledgments to the Third Edition
- Author
- 1 The Basics of Stochastic Calculus
- 2 The Martingale Representation Theorem
- 3 U.S. Fixed-Income Markets
- 4 LIBOR Transition and SOFR Derivatives Markets
- 5 Forward Measures and the Black Formula
- 6 The Heath-Jarrow-Morton Model
- 7 Short-Rate Models and Lattice Implementation
- 8 Affine Term Structure Models
- 9 Market Model for SOFR Derivatives
- 10 Convexity Adjustments
- 11 Market Models with Stochastic Volatilities
- 12 LĂ©vy Market Model
- 13 Market Model for Inflation Derivatives
- 14 Market Model for Credit Derivatives
- 15 xVA: Definition, Evaluation, and Risk Management
- References
- Index