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Interest Rate Modeling: Theory and Practice by Lixin Wu

By: Wu, Lixin.
Material type: materialTypeLabelBookSeries: Chapman & Hall/CRC Financial Mathematics Series. Publisher: Boca Raton CRC Press 2015Description: 333p.ISBN: 9781420090567.Subject(s): Interest Rates - Mathematical ModelsDDC classification: 332.8015195
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Book Institute of Management
General 332.8015195 WU (Browse shelf) Available M0031394
Total holds: 0

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

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