Lixin Wu

Interest Rate Modeling (eBook, PDF)

Theory and Practice

• Format: PDF

Produktbeschreibung

Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of this book portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 439
• Erscheinungstermin: 27. August 2024
• Englisch
• ISBN-13: 9781040103074
• Artikelnr.: 72282143

Autorenporträt

Lixin Wu earned his PhD in applied mathematics from UCLA in 1991. Originally a specialist in numerical analysis, he switched his area of focus to financial mathematics in 1996. Since then, he has made notable contributions to the area. He co-developed the PDE model for soft barrier options and the finitestate Markov chain model for credit contagion. He is, perhaps, best known in the financial engineering community for a series of works on market models, including an optimal calibration methodology for the standard market model, a market model with square-root volatility, a market model for credit derivatives, a market model for in inflation derivatives, and a dual-curve SABR market model for post-crisis derivatives markets. He also has made valuable contributions to the topic of xVA. Over the years, Dr. Wu has been a consultant for financial institutions and a lecturer for Risk Euromoney and Marco Evans, two professional education agencies. He is currently a full professor at the Hong Kong University of Science and Technology.

Inhaltsangabe

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