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Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)
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Review
"The book presents in a balanced way both theory and applications of interest rate modeling. …The book can serve as a textbook. It is self-contained in mathematics and presents rigorous justifications for almost all results. Many exercises are provided which often require computer implementation. To a large extent, this book can also serve as a research monograph as it contains many new results. The book shows the readers what has to be a competent quantitative analysis in financial markets."―Pavel Stoynov, Zentralblatt MATH 1173
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About the Author
Lixin Wu is an associate professor at the Hong Kong University of Science and Technology. Best known in the financial engineering community for his work on market models, Dr. Wu co-developed the PDE model for soft barrier options and the finite-state Markov model for credit contagion.
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Product details
Series: Chapman and Hall/CRC Financial Mathematics Series
Hardcover: 354 pages
Publisher: Chapman and Hall/CRC; 1 edition (May 14, 2009)
Language: English
ISBN-10: 1420090569
ISBN-13: 978-1420090567
Product Dimensions:
6.1 x 0.8 x 9.2 inches
Shipping Weight: 1.4 pounds (View shipping rates and policies)
Average Customer Review:
4.8 out of 5 stars
5 customer reviews
Amazon Best Sellers Rank:
#523,181 in Books (See Top 100 in Books)
I really like this IR modeling book and I have a bunch. I'm currently using it for course work. The book is laid out very well. The first few chapters are a nice review of stochastic calculus, martingale rep. theorem, interest rates - short rates, zero coupon bonds etc. Then comes the HJM Model with Ho-Lee & Hull-White explained with examples. Then we have the Libor Market Model with all the instruments explained: caps, floors, swaps, FRA's, etc. The LMM is fully explained with MC simulation as well. The book then goes into calibration of the LMM along with volatility & correlation adjustments, which is where I'm at now.The maths are definitely rigorous but the examples are so well laid out that it is fairly straightforward to follow. I highly recommend this book.
I have read other interest rate modeling books and this book is definitely the best. Other books tend to cover too many theories without depth and too many kinds of models which do not have much practical values. This book not only has the right amount of practical models but also provides you with understandable derivations and numerical examples which are vitally important for learners and practitioners. As a teaching professor and an active researcher in the forefront, the author clearly understands what is important from students' point of view and which theory is most important. Since the author is also a specialist in numerical analysis, the numerical examples are also better presented than other books.If you are seriously interested in learning interest rate modeling, buy this book.
This book is a delight to read. Apparently the author has put a lot of thoughts into the selection and presentation of the materials, so that it is concise and deep, yet can be followed page by page easily. I have read many other texts and monographs, and consider this as a rare find in financial modeling books. As a practitioner, I find it useful as a well-organized top-down review and in-depth research of the most popular interest rate models. As a former university professor, I know this would be my choice of textbook if I were to teach a course in interest rate models, as students would benefit from the very relevant materials and the clarity and easy flow of logic.
This is the book which I chose to keep for a comprehensive IR modeling textbook after reading many. Quite good since it introduces you all basic IR modeling issues almost step by step with a further learning direction for smiles.As the title says, the book also dips some industry practice.
This book offers a long needed comprehensive overview treatment of interest rate models. It is ideal for quants who want a sound introduction to the area, on a rigid step-by-step basis and a decent coverage of all of the standard model classes. It is nice to find several worked examples and brief model applications.
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