February 13, 2019 Forthcoming
Textbook - 496 Pages - 96 B/W Illustrations
ISBN 9780815378914 - CAT# K339028
Series: Chapman and Hall/CRC Financial Mathematics Series
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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.
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
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