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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.
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.
| Erscheinungsjahr: | 2012 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Importe, Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Inhalt: | Gebunden |
| ISBN-13: | 9789814390859 |
| ISBN-10: | 9814390852 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Nicolas Privault |
| Hersteller: | World Scientific |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 235 x 157 x 18 mm |
| Von/Mit: | Nicolas Privault |
| Erscheinungsdatum: | 04.05.2012 |
| Gewicht: | 0,51 kg |
| Erscheinungsjahr: | 2012 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Importe, Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Inhalt: | Gebunden |
| ISBN-13: | 9789814390859 |
| ISBN-10: | 9814390852 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Nicolas Privault |
| Hersteller: | World Scientific |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 235 x 157 x 18 mm |
| Von/Mit: | Nicolas Privault |
| Erscheinungsdatum: | 04.05.2012 |
| Gewicht: | 0,51 kg |
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