Interest Rate Modeling Theory and Practice |
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| Author:
| Wu, Lixin |
| Series title: | Chapman and Hall/CRC Financial Mathematics Ser. |
| ISBN: | 978-1-4200-9056-7 |
| Publication Date: | May 2009 |
| Publisher: | CRC Press LLC
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| Imprint: | Chapman & Hall/CRC |
| Book Format: | Hardback |
| List Price: | AUD $151.00 |
Book Description:
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Interest rate derivatives play a central role in modern financial markets. Self-contained, practical, and easy to follow, this graduate-level textbook provides a systematic introduction to interest rate models used for pricing and hedging various derivatives on interest rates. It reveals the missing links between various types of interest rate models and addresses model calibration, volatility, and correlation adjustments. The author emphasizes application of the material by providing...
More DescriptionInterest rate derivatives play a central role in modern financial markets. Self-contained, practical, and easy to follow, this graduate-level textbook provides a systematic introduction to interest rate models used for pricing and hedging various derivatives on interest rates. It reveals the missing links between various types of interest rate models and addresses model calibration, volatility, and correlation adjustments. The author emphasizes application of the material by providing examples with real-world data. He also includes MATLAB ® codes of the algorithms used to obtain most numerical results.