Interest rate modeling :
Wu, Lixin,
Interest rate modeling : theory and practice / - Boca Raton : CRC Press, c2009. - xix, 333 p. : - Chapman & Hall/CRC financial mathematics series .
"A Chapman & Hall book."
Includes bibliographical references (p. 319-325) and index.
Interest rate modeling portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics and computations. It introduces all models with financial-economical justifications, develops options along the martingale approach and handles option evaluations with precise numerical methods. 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.
9781420090567 (hbk. : alk. paper) 1420090569 (hbk. : alk. paper)
Interest rates - mathematical models
Interest rate futures
Interest rates modelling
HG6024.5 / .W82 2009
332.801'5195 / WUL
Interest rate modeling : theory and practice / - Boca Raton : CRC Press, c2009. - xix, 333 p. : - Chapman & Hall/CRC financial mathematics series .
"A Chapman & Hall book."
Includes bibliographical references (p. 319-325) and index.
Interest rate modeling portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics and computations. It introduces all models with financial-economical justifications, develops options along the martingale approach and handles option evaluations with precise numerical methods. 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.
9781420090567 (hbk. : alk. paper) 1420090569 (hbk. : alk. paper)
Interest rates - mathematical models
Interest rate futures
Interest rates modelling
HG6024.5 / .W82 2009
332.801'5195 / WUL