Interest Rate Modeling: Theory and Practice, Second Edition (Chapman and Hall/CRC Financial Mathematics Series)

Book Details:

• Publisher: CRC Press

• Author: Lixin Wu

• Language: English

• Edition: 2nd Edition

• ISBN: 9780815378914

• Pages: 494

• Cover: Hardcover

• Dimensions: 9.4 x 6.4 x 1.3 inches

About the Book:

Interest Rate Modeling: Theory and Practice (2nd Edition) by Lixin Wu provides a comprehensive exploration of the multifaceted world of interest rate modeling, integrating finance, mathematics, and computation. This updated edition introduces all models with solid financial and economic justifications, offering precise numerical methods for option evaluations based on the martingale approach.

The book stands out by presenting a complete cycle of model construction and applications, helping readers learn how to build and use models effectively. It offers a systematic treatment of essential industrial issues such as volatility and correlation adjustments, providing practical insights into real market data through numerous examples and exercises.

New to this edition are cutting-edge concepts including volatility smile modeling, a new paradigm for inflation derivatives modeling, an extended market model for credit derivatives, and a dual-curved model for post-crisis interest-rate derivatives markets. The book also includes an elegant framework for the xVA and updates on the latest research in volatility-smile, positive interest-rate models, and convexity adjustment.

Designed for advanced readers and professionals, Interest Rate Modeling is an indispensable resource for those looking to deepen their understanding of interest rate models and their applications in the modern financial markets. Whether you are a student or a market practitioner, this edition equips you with essential tools and knowledge for quantitative finance and risk management.