Interest Rate Modeling: Theory and Practice
Wu, Lixin
Interest Rate Modeling: Theory and Practice - Boca Raton CRC Press 2015 - 333p - Chapman & Hall/CRC Financial Mathematics Series .
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
9781420090567
Interest Rates - Mathematical Models
332.8015195 / WU
Interest Rate Modeling: Theory and Practice - Boca Raton CRC Press 2015 - 333p - Chapman & Hall/CRC Financial Mathematics Series .
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
9781420090567
Interest Rates - Mathematical Models
332.8015195 / WU