Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice 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. The text begins with the mathematical foundations, including Ito's calculus and the martingale representation ...
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Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice 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. The text begins with the mathematical foundations, including Ito's calculus and the martingale representation theorem. It then introduces bonds and bond yields, followed by the Heath-Jarrow-Morton (HJM) model, which is the framework for no-arbitrage pricing models. The next chapter focuses on when the HJM model implies a Markovian short-rate model and discusses the construction and calibration of short-rate lattice models. In the chapter on the LIBOR market model, the author presents the simplest yet most robust formula for swaption pricing in the literature. He goes on to address model calibration, an important aspect of model applications in the markets; industrial issues; and the class of affine term structure models for interest rates. Taking a top-down approach, Interest Rate Modeling provides readers with a clear picture of this important subject by not overwhelming them with too many specific models. The text captures the interdisciplinary nature of the field and shows readers what it takes to be a competent quant in today's market. This book can be adopted for instructional use. For this purpose, a solutions manual is available for qualifying instructors.
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Add this copy of Interest Rate Modeling: Theory and Practice (Chapman & to cart. $54.52, good condition, Sold by Anybook rated 5.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2009 by CRC Press.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. Clean from markings. In good all round condition. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 700grams, ISBN: 9781420090567.
Add this copy of Interest Rate Modeling to cart. $51.67, new condition, Sold by discount_scientific_books rated 4.0 out of 5 stars, ships from Sterling Heights, MI, UNITED STATES, published 2009 by CRC Press.
Add this copy of Interest Rate Modeling: Theory and Practice (Chapman & to cart. $89.72, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2009 by Chapman & Hall.
