Interest Rate Modeling

Theory and Practice

Lixin Wu

$173

Hardback

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English

Chapman & Hall/CRC
27 August 2024

Econometrics; Economic statistics; Finance; Probability & statistics; Applied mathematics

Series: Chapman and Hall/CRC Financial Mathematics Series

Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third 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 smiles 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 Third edition

Introduction of Fed fund market and Fed fund futures Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets New chapters on LIBOR Transition and SOFR Derivatives Markets

By: Lixin Wu
Imprint: Chapman & Hall/CRC
Country of Publication: United Kingdom
Edition: 3rd edition
Dimensions: Height: 234mm, Width: 156mm,
Weight: 970g
ISBN: 9781032483559
ISBN 10: 1032483555
Series: Chapman and Hall/CRC Financial Mathematics Series
Pages: 425
Publication Date: 27 August 2024
Audience: College/higher education , Primary
Format: Hardback
Publisher's Status: Active

Lixin Wu earned his PhD in applied mathematics from UCLA in 1991. Originally a specialist in numerical analysis, he switched his area of focus to financial mathematics in 1996. Since then, he has made notable contributions to the area. He co-developed the PDE model for soft barrier options and the finitestate Markov chain model for credit contagion. He is, perhaps, best known in the financial engineering community for a series of works on market models, including an optimal calibration methodology for the standard market model, a market model with square-root volatility, a market model for credit derivatives, a market model for in inflation derivatives, and a dual-curve SABR market model for post-crisis derivatives markets. He also has made valuable contributions to the topic of xVA. Over the years, Dr. Wu has been a consultant for financial institutions and a lecturer for Risk Euromoney and Marco Evans, two professional education agencies. He is currently a full professor at the Hong Kong University of Science and Technology.

Reviews for Interest Rate Modeling: Theory and Practice

“A part of the Chapman & Hall/CRC Financial Mathematics series, Professor Lixin Wu's ""Interest Rate Modeling: Theory and Practice, third edition"" is a premier and solidly recommended acquisitions choice for corporate and college/university library Economics/Mathematics collections and as a supplemental Economics curriculum textbook.” —Midwest Book Review