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.
| ISBN: | 9789812832733 |
| Publication date: | 14th October 2008 |
| Author: | Nicolas Privault |
| Publisher: | World Scientific Publishing an imprint of WORLD SCIENTIFIC |
| Format: | Hardback |
| Pagination: | 178 pages |
| Series: | Advanced Series on Statistical Science & Applied Probability |
| Genres: |
Stochastics |
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 Introduction to Stochastic Interest Rate Modeling features in the following genres: Stochastics
Hardback. Not Available.
An Elementary Introduction to Stochastic Interest Rate Modeling was written by Nicolas Privault and published by World Scientific Publishing an imprint of WORLD SCIENTIFIC
An Elementary Introduction to Stochastic Interest Rate Modeling has 178 pages
Yes it is part of Advanced Series on Statistical Science & Applied Probability series