Modern Interest Rate Markets and Models: Multiple Curves, Collateral, Funding and Credit (Wiley Finance)

by Marco Bianchetti and Massimo Morini

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An indispensable working resource for any finance professionals concerned with interest rates and pricing models Modern Interest Rate Markets and Models is the first book to cover both the theory and practice of dealing with rate-sensitive financial products in light of the fundamental changes taking place in the market. Classical approaches to interest modelling are reviewed alongside evidence of why these frameworks are no longer consistent with present market evidence, and the authors present a new theoretical explanation of the new patterns that are emerging. Readers gain insight into the new framework and its practical applications, with expert guidance toward constructing multiple interest curves and volatility surfaces, and pricing derivatives coherently with present interest rate market and data. Appendices summarise the mathematical toolkit to support all calculations in the text, and an extensive bibliography points readers toward additional literature on the subject.
The on-going financial crisis has triggered a deep evolution of the classical framework for pricing and trading financial instruments, with macroscopic impacts on both vanilla and exotic contracts, particularly within the interest rate market. Yet, these classical approaches remain the focus of standard textbooks, resulting generations of new practitioners approaching the market in an inaccurate manner. This book seeks to rectify the situation with an entirely new approach that more accurately reflects the realities of the modern market. * Examine the ways in which the credit crunch impacted the interest rate market * Learn why classical approaches to interest rate modelling are no longer valid * Discover new patterns and mathematical frameworks that represent the current market * Generalise the most important interest rate models into modern multiple-curve versions With the most consistent, comprehensive approach to the subject, readers will find Modern Interest Rate Markets and Models to be an indispensible resource for building a stronger, more sustainable market strategy.
  • ISBN13 9781118441985
  • Publish Date 26 November 2018 (first published 11 October 2012)
  • Publish Status Cancelled
  • Publish Country US
  • Imprint John Wiley & Sons Inc