ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN (2ND EDITION) (Advanced Statistical Science and Applied Probability) - Hardcover

Privault Nicolas

 
9789814390859: ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN (2ND EDITION) (Advanced Statistical Science and Applied Probability)
Hardcover
ISBN 10: 9814390852 ISBN 13: 9789814390859
Publisher: World Scientific Publishing Company, 2012

Synopsis

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.

"synopsis" may belong to another edition of this title.

From the Back Cover

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.

"About this title" may belong to another edition of this title.

Publisher
World Scientific Publishing Company
Publication date
2012
Language
English
ISBN 10 
9814390852
ISBN 13 
9789814390859
Binding
Hardcover
Edition number
2
Number of pages
244