Interest Rate Modeling

<p>Containing many results that are new or which exist only in recent research articles this thoroughly revised third edition of <b><i>Interest Rate Modeling: Theory and Practice Third Edition </i></b>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.</p><p><b>Features</b></p><ul> <li>Presents a complete cycle of model construction and applications showing readers how to build and use models</li> <li>Provides a systematic treatment of intriguing industrial issues such as volatility smiles and correlation adjustments</li> <li>Contains exercise sets and a number of examples with many based on real market data</li> <li>Includes comments on cutting-edge research such as volatility-smile positive interest-rate models and convexity adjustment</li> </ul><p> <b>New to the Third edition</b></p><ul> <li> <b> </b>Introduction of Fed fund market and Fed fund futures</li> <li>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</li> <li>New chapters on LIBOR Transition and SOFR Derivatives Markets</li> </ul>