Interest Rate Modeling: Theory and Practice, Second Edition

ISBN-13: 9780815378914 / Angielski / Twarda / 2019 / 494 str.

Lixin Wu

Opis

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.

O autorze

Lixin Wu is a 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.