Interest rate modeling : theory and practice /: theory and practice. (2019)

• Record Type: Book
• Further Information: Note: Lixin Wu.
• Authors: Wu, Lixin, 1961-
• Contents: 1. The Basics of Stochastic Calculus 2. The Martingale Representation Theorem 3. Interest Rates and Bonds 4. The Heath-Jarrow-Morton Model 5. Short-Rate Models and Lattice Implementation 6. The LIBOR Market Model 7. Calibration of LIBOR Market Model 8. Volatility and Correlation Adjustments 9. Affine Term Structure Models 10. The Market Model for Inflation-Rate Derivatives. 11. Levy Market Model 12. Market Model for Inflation Derivatives Modeling 13. Market Model for Credit Derivatives 14. Dual-Curve Market Models for Post-Crisis Interest Rate Derivatives Markets 15. xVA Definition, Evaluation and Risk Management
• Edition: Second edition
• Publisher Details: Boca Raton : CRC Press
• Publication Date: 2019
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.8015195; Interest rates -- Mathematical models; Interest rate futures -- Mathematical models
• Languages: English
• ISBNs: 9781351227407; 9781351227391; 9781351227421
• Related ISBNs: 9780815378914
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.