ELEMEN INTRO STOCH INTER RATE..2 ED: 16 (Advanced Series on Statistical Science & Applied Probability) - Tapa dura

Privault, Nicolas

 
9789814390859: ELEMEN INTRO STOCH INTER RATE..2 ED: 16 (Advanced Series on Statistical Science & Applied Probability)
Tapa dura
ISBN 10: 9814390852 ISBN 13: 9789814390859
Editorial: World Scientific, 2012

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

De la contraportada

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.

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

Editorial
World Scientific
Año de publicación
2012
Idioma
Inglés
ISBN 10 
9814390852
ISBN 13 
9789814390859
Encuadernación
Tapa dura
Número de edición
2
Número de páginas
244
Contacto del fabricante
no disponible
Persona responsable
gpsr@libri.de
gpsr@libri.de

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Alemania