Interest Rate Modeling

<p>Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of <b><i>Interest Rate Modelin Theory and Practice, Third Edition </i></b>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.</p><p><b>Features</b></p><ul><li>Presents a complete cycle of model construction and applications, showing readers how to build and use models</li><li>Provides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustments</li><li>Contains exercise sets and a number of examples, with many based on real market data</li><li>Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment</li></ul><p> <b>New to the Third edition</b></p><ul><li><b> </b>Introduction of Fed fund market and Fed fund futures</li><li>Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets</li><li>New chapters on LIBOR Transition and SOFR Derivatives Markets</li></ul><p></p><p></p>