Interest Rate Modeling

Theory and Practice, Second Edition.

Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation.

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.

UK Delivery:

• Free delivery on all orders of £10 or more.
• £1.49 delivery fee on orders below £10.
• UK orders are shipped via Royal Mail 2nd Class.

International Delivery:

• Flat rate delivery charges vary by country.

Dispatch and Delivery Times:

• All orders are shipped from our warehouse in Northampton, UK within 48 hours of receipt during working hours.
• UK mainland orders typically arrive within 3-5 working days via Royal Mail 2nd Class.
• International estimated delivery times:
• Europe & Channel Islands: 7 to 10 working days
• USA: 7 to 15 working days
• Rest of the World: 9 to 21 working days

View our full delivery infomation here.