Interest Rate Modeling: Theory and Practice

By:

Wu, Lixin

Material type: Text

TextSeries: Chapman & Hall/CRC Financial Mathematics SeriesPublication details: CRC Press 2015 Boca RatonDescription: 333pISBN:

9781420090567

Subject(s):

Interest Rates - Mathematical Models

DDC classification:

332.8015195 WU

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Holdings
Item type	Current library	Item location	Collection	Call number	Status	Date due	Barcode	Item holds
Book	NIMA Knowledge Centre	9th Floor Reading Zone	General	332.8015195 WU (Browse shelf(Opens below))	Available		M0031394

Total holds: 0

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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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