Elementary Introduction to Stochastic Interest Rate Modeling

Name: Elementary Introduction to Stochastic Interest Rate Modeling
Brand: World Scientific Publishing
SKU: 9789814390859
Price: 364.45 PLN
Availability: InStock

Autor: Nicolas Privault

Język:

Oprawa: Twarda

Wydawca: World Scientific Publishing

Dostępność: Dostępna u dostawcy

Wysyłamy za 10-13 dni

364.45 zł

Interest rate modeling and the pricing of related derivatives remain subjects of increasing importan...

Informacje o książce

Autor

Nicolas Privault

Język

Angielski

Oprawa

Książka - Twarda

Data wydania

2012

strony

242

EAN

9789814390859

ISBN

9814390852

Enbook ID

01231508

Wydawca

World Scientific Publishing

Waga

572

Wymiary

159 x 235 x 24

Pełny opis

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.

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Elementary Introduction to Stochastic Interest Rate Modeling

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