INTEREST RATE MODELING

Containing many results that are new or which exist only in recent research articles Interest Rate Modeling: Theory and Practice 2nd Editionportrays 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.FeaturesPresents a complete cycle of model construction and applications showing readers how to build and use modelsProvides a systematic treatment of intriguing industrial issues such as volatility and correlation adjustmentsContains exercise sets and a number of examples with many based on real market dataIncludes comments on cutting-edge research such as volatility-smile positive interest-rate models and convexity adjustmentNew 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.