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Containing many results that are new, or which 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. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods.FeaturesPresents a complete cycle of model construction and applications, showing readers how to build and use modelsIncorporates high-power numerical methodologiesProvides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustmentsContains exercise sets and a number of examples, with many based on real market dataIncludes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustmentNew to the 2nd Edition: new topics highly relevant to the post-crisis market. Discussion of the dual-curved model developed by the author.
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