ABSTRACT

Containing many results that are new or 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 app

chapter 1|26 pages

The Basics of Stochastic Calculus

chapter 2|32 pages

The Martingale Representation Theorem

chapter 3|22 pages

Interest Rates and Bonds

chapter 4|52 pages

The Heath–Jarrow–Morton Model

chapter 6|44 pages

The LIBOR Market Model

chapter 7|44 pages

Calibration of LIBOR Market Model

chapter 8|32 pages

Volatility and Correlation Adjustments

chapter 9|32 pages

Affine Term Structure Models