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Interest Rate Modeling: Theory and Practice by Lixin Wu

Interest Rate Modeling: Theory and Practice

by Lixin Wu
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Book cover type: Hardcover
  • ISBN13: 9781032483559
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Taylor & Francis
  • Publisher Imprint: CRC Press
  • Publication Date:
  • Pages: 448
  • Original Price: GBP 86.99
  • Language: English
  • Edition: N/A
  • Item Weight: 785 grams
  • BISAC Subject(s): Finance / General and Probability & Statistics / General

Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third Edition 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.

Features

  • Presents a complete cycle of model construction and applications, showing readers how to build and use models
  • Provides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustments
  • Contains exercise sets and a number of examples, with many based on real market data
  • Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment

New to the Third edition

  • Introduction of Fed fund market and Fed fund futures
  • 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
  • New chapters on LIBOR Transition and SOFR Derivatives Markets

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.

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