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Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) on Hardback by Nicolas Privault
Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) on Hardback by Nicolas Privault
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Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition)

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Description

Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students.This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.
Release date Australia
July 3rd, 2012
Audiences
  • Professional & Vocational
  • Tertiary Education (US: College)
Edition
2nd Revised edition
Pages
244
Dimensions
155x229x23
ISBN-13
9789814390859
Product ID
19862079

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