ELEMEN INTRO STOCH INTER RATE..2 ED (Advanced Series on Statistical Science & Applied Probability, Band 16) - Hardcover

Privault Nicolas

Hardcover

ISBN 10: 9814390852 ISBN 13: 9789814390859

Verlag: World Scientific, 2012

Inhaltsangabe

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.

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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.

Details zur Ausgabe

• Verlag: World Scientific
• Erscheinungsdatum: 2012
• Sprache: Englisch
• ISBN 10: 9814390852
• ISBN 13: 9789814390859
• Einband: Gebundene Ausgabe
• Auflage: 2
• Anzahl der Seiten: 244
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: GPSR Kontakt; gpsr@libri.de; ; Europaallee 1; Bad Hersfeld; 36244; Deutschland