An Elementary Introduction to Stochastic Interest Rate Modeling - Couverture rigide

Privault, Nicolas

 
9789812832733: An Elementary Introduction to Stochastic Interest Rate Modeling
Couverture rigide
ISBN 10 : 9812832734 ISBN 13 : 9789812832733
Editeur : World Scientific Publishing Co Pte Ltd, 2008

Synopsis

This textbook is written as an accessible introduction to interest rate modeling and related derivatives, which have become increasingly important subjects of interest in financial mathematics. The models considered range from standard short rate to forward rate models and include more advanced topics such as the BGM model and an approach to its calibration. An elementary treatment of the pricing of caps and swaptions under forward measures is also provided, with a focus on explicit calculations and a step-by-step introduction of concepts. Each chapter is accompanied with exercises and their complete solutions, making this book suitable for advanced undergraduate or beginning graduate-level students.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

“All this and a little more is done in 133 pages, including exercises, making this text an attractive choice for a one-semester course at the graduate level.” Mathematical Reviews This textbook is written as an accessible introduction to interest rate modeling and related derivatives, which have become increasingly important subjects of interest in financial mathematics. The models considered range from standard short rate to forward rate models and include more advanced topics such as the Bgm model and an approach to its calibration. An elementary treatment of the pricing of caps and swaptions under forward measures is also provided, with a focus on explicit calculations and a step-by-step introduction of concepts. Each chapter is accompanied with exercises and their complete solutions, making this book suitable for advanced undergraduate or beginning graduate-level students.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
World Scientific Publishing Co Pte Ltd
Date d'édition
2008
Langue
anglais
ISBN 10 
9812832734
ISBN 13 
9789812832733
Reliure
Relié
Nombre de pages
192
Coordonnées du fabricant
non disponible
Personne responsable
non disponible