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

Book Details:

• Publisher: Taylor & Francis Ltd

• Author: Lixin Wu

• Language: English

• Edition: 1st Edition

• ISBN: 9781420090567

• Pages: 354

• Cover: Hardcover

• Dimensions: 4.2 x 2.8 x 1.0 inches

About the Book:

Interest Rate Modeling: Theory and Practice by Lixin Wu offers a comprehensive guide to the complex world of interest rate modeling, blending finance, mathematics, and computation. This book presents an in-depth look at the theory of interest rate models, introducing both financial and economic justifications for various models, as well as developing options along the martingale approach for precise option evaluations using numerical methods.

The text begins with a solid foundation in mathematical concepts, including Ito's calculus and the martingale representation theorem. It then delves into bonds, bond yields, and the foundational Heath–Jarrow–Morton (HJM) model, which serves as the cornerstone for no-arbitrage pricing models. One key chapter focuses on the Markovian short-rate model and the construction of short-rate lattice models, before advancing to the widely used LIBOR market model, where Wu presents a straightforward yet highly reliable formula for swaption pricing.

Further discussions cover model calibration, a crucial aspect for market application, along with industrial challenges and the affine term structure models for interest rates. Taking a top-down approach, the book provides readers with a clear and structured overview of the field, ensuring that readers are not overwhelmed by excessive details while still gaining the essential insights to be proficient in modern quantitative finance.

This book is a valuable resource for both students and professionals in finance, particularly those interested in the interdisciplinary aspects of quantitative finance and the mathematical modeling of interest rates.