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Total Size:
6.3 MB
Info Hash:
B46776DDB7C18BDC41112BCFCAA0085C0C5B2E83
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Added:
April 22, 2026, 6:15 a.m.
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(Last updated: April 22, 2026, 6:19 a.m.)
| File | Size |
|---|---|
| Wu L. Interest Rate Modeling. Theory and Practice 3ed 2025.pdf | 6.3 MB |
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10.1 MB
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2023-07-01
| Uploaded by indexFroggy | Size 10.1 MB | Health [ 25 /0 ] | Added 2023-07-01 |
NOTE
SOURCE: Wu L. Interest Rate Modeling. Theory and Practice 3ed 2025
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COVER

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MEDIAINFO
Textbook in PDF format Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third 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 smiles 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 Third edition Introduction of Fed fund market and Fed fund futures Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets New chapters on LIBOR Transition and SOFR Derivatives Markets Read less
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