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Cover: 9789814390859 | Elementary Introduction to Stochastic Interest Rate Modeling, an...
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ELEMEN INTRO STOCH INTER RATE..2 ED
Buch von Nicolas Privault
Sprache: Englisch

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Beschreibung
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.

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.

Details
Erscheinungsjahr: 2012
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
ISBN-13: 9789814390859
ISBN-10: 9814390852
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Nicolas Privault
Hersteller: World Scientific
Maße: 235 x 157 x 18 mm
Von/Mit: Nicolas Privault
Erscheinungsdatum: 04.05.2012
Gewicht: 0,512 kg
Artikel-ID: 106591128
Details
Erscheinungsjahr: 2012
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
ISBN-13: 9789814390859
ISBN-10: 9814390852
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Nicolas Privault
Hersteller: World Scientific
Maße: 235 x 157 x 18 mm
Von/Mit: Nicolas Privault
Erscheinungsdatum: 04.05.2012
Gewicht: 0,512 kg
Artikel-ID: 106591128
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