Master of Chaos by Shannon Mckenna

Master of Chaos by Shannon Mckenna

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

Shannon McKenna is the New York Times bestselling author of In For the Kill, Deadly Strike, and Behind Closed Doors, among other books. She has adored surrendering herself to the magic of a good book since she was a child.