Interest Rate Modeling "Theory and Practice"

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ISBN:9780815378914
Editorial: Crc Press Inc.
Fecha de la edición:2019
Número de la edición: 2
Encuadernación:
Nº Pág.:494
Idiomas:Ingles,Inglés

Materias:

/ Inversión y Financiación

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.

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 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 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.

1. The Basics of Stochastic Calculus

2. The Martingale Representation Theorem

3. Interest Rates and Bonds

4. The Heath-Jarrow-Morton Model

5. Short-Rate Models and Lattice Implementation

6. The LIBOR Market Model

7. Calibration of LIBOR Market Model

8. Volatility and Correlation Adjustments

9. Affine Term Structure Models

10. The Market Model for Inflation-Rate Derivatives.

11. Levy Market Model

12. Market Model for Inflation Derivatives Modeling