"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, wit

Back Cover ( this section should include endorsements also) As interest rate markets continue to innovate and expand it is becoming increasingly important to re

This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution e

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