Interest Rate Modeling: Theory and Practice, Second Edition
暫譯: 利率模型:理論與實務(第二版)

Wu, Lixin

  • 出版商: CRC
  • 出版日期: 2020-09-30
  • 售價: $2,090
  • 貴賓價: 9.5$1,986
  • 語言: 英文
  • 頁數: 494
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 0367656558
  • ISBN-13: 9780367656553
  • 海外代購書籍(需單獨結帳)

商品描述

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.

商品描述(中文翻譯)

包含許多新的結果,或僅存在於近期研究文章中的結果,利率模型:理論與實務,第2版將利率模型的理論描繪為金融、數學和計算的三維物件。它以金融經濟的理由介紹所有模型,沿著鞅(martingale)方法發展選擇權,並以精確的數值方法處理選擇權評估。

特色


  • 呈現模型建構和應用的完整循環,向讀者展示如何建立和使用模型

  • 系統性地處理引人入勝的產業議題,如波動性和相關性調整

  • 包含練習題集和多個範例,許多範例基於真實市場數據

  • 包括對前沿研究的評論,如波動微笑(volatility smile)、正利率模型和凸性調整(convexity adjustment)

  • 第2版新增:波動微笑建模;通脹衍生品建模的新範式;擴展的信用衍生品市場模型;針對後危機利率衍生品市場的雙曲線模型;以及xVA的優雅框架。

作者簡介

Lixin Wu is a professor at the Hong Kong University of Science and Technology. Best known in the financial engineering community for his work on market models, Dr. Wu co-developed the PDE model for soft barrier options and the finite-state Markov model for credit contagion.

作者簡介(中文翻譯)

吳立新是香港科技大學的教授。在金融工程界,以其在市場模型方面的研究而聞名,吳博士共同開發了軟障礙選擇權的偏微分方程(PDE)模型以及信用傳染的有限狀態馬可夫模型。