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Elementary Introduction To Stochastic Interest Rate Modeling, An: 12 (Advanced Series on Statistical Science & Applied Probability) - Tapa dura

Privault, Nicolas

 
9789812832733: Elementary Introduction To Stochastic Interest Rate Modeling, An: 12 (Advanced Series on Statistical Science & Applied Probability)
Tapa dura
ISBN 10: 9812832734 ISBN 13: 9789812832733
Editorial: World Scientific Publishing Co Pte Ltd, 2008

Sinopsis

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.

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Reseña del editor

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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
World Scientific Publishing Co Pte Ltd
Año de publicación
2008
Idioma
Inglés
ISBN 10 
9812832734
ISBN 13 
9789812832733
Encuadernación
Tapa dura
Número de páginas
192
Contacto del fabricante
no disponible
Persona responsable
no disponible