Interest rate modeling : theory and practice /

By:

Wu, Lixin

Material type: Text

TextSeries: Chapman & Hall/CRC financial mathematics seriesPublication details: Boca Raton : CRC Press, c2009.Description: xix, 333 pISBN:

9781420090567 (hbk. : alk. paper)
1420090569 (hbk. : alk. paper)

Subject(s):

DDC classification:

332.801'5195 WUL

LOC classification:

HG6024.5 .W82 2009

Summary: 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.

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"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.

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