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001 9781351227421
003 FlBoTFG
005 20260210180841.0
006 m o d
007 cr cnu---unuuu
008 190314s2019 flu ob 001 0 eng d
040 _aOCoLC-P
_beng
_erda
_epn
_cOCoLC-P
020 _a9781351227421
_q(electronic bk.)
020 _a1351227424
_q(electronic bk.)
020 _a9781351227407
_q(electronic bk. : EPUB)
020 _a1351227408
_q(electronic bk. : EPUB)
020 _a9781351227391
_q(electronic bk. : Mobipocket)
020 _a1351227394
_q(electronic bk. : Mobipocket)
020 _a9781351227414
_q(electronic bk. : PDF)
020 _a1351227416
_q(electronic bk. : PDF)
020 _z9780815378914
020 _z0815378912
024 8 _a10.1201/9781351227421
_2doi
035 _a(OCoLC)1089835806
035 _a(OCoLC-P)1089835806
050 4 _aHG6024.5
_b.W82 2019eb
072 7 _aMAT
_x000000
_2bisacsh
072 7 _aBUS
_x027000
_2bisacsh
072 7 _aMAT
_x029000
_2bisacsh
072 7 _aPBW
_2bicssc
082 0 4 _a332.801/5195
_223
100 1 _aWu, Lixin,
_d1961-
_eauthor.
245 1 0 _aInterest rate modeling :
_btheory and practice /
_cLixin Wu.
250 _aSecond edition.
264 1 _aBoca Raton, Florida :
_bCRC Press,
_c[2019]
300 _a1 online resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 0 _aChapman & Hall/CRC financial mathematics series
520 _aContaining many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd 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 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 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.
588 _aOCLC-licensed vendor bibliographic record.
650 0 _aInterest rates
_xMathematical models.
650 0 _aInterest rate futures
_xMathematical models.
650 7 _aMATHEMATICS / General
_2bisacsh
650 7 _aBUSINESS & ECONOMICS / Finance
_2bisacsh
650 7 _aMATHEMATICS / Probability & Statistics / General
_2bisacsh
856 4 0 _3Taylor & Francis
_uhttps://www.taylorfrancis.com/books/9781351227421
856 4 2 _3OCLC metadata license agreement
_uhttp://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf
999 _c92696
_d92695