Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition)
Author:   Nicolas Privault (Ntu, S'pore)
Publisher:   World Scientific Publishing Co Pte Ltd
Edition:   2nd Revised edition
Volume:   16
ISBN:  

9789814390859


Pages:   244
Publication Date:   03 July 2012
Format:   Hardback
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition)


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Overview

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.

Full Product Details

Author:   Nicolas Privault (Ntu, S'pore)
Publisher:   World Scientific Publishing Co Pte Ltd
Imprint:   World Scientific Publishing Co Pte Ltd
Edition:   2nd Revised edition
Volume:   16
Dimensions:   Width: 15.50cm , Height: 2.30cm , Length: 22.90cm
Weight:   0.522kg
ISBN:  

9789814390859


ISBN 10:   9814390852
Pages:   244
Publication Date:   03 July 2012
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

A Review of Stochastic Calculus; A Review of Black - Scholes Pricing; Short Term Interest Rate Models; Pricing of Zero-Coupon Bonds; Forward Rate Modeling; The Heath - Jarrow - Morton (HJM) Model; The Forward Measure and Derivative Pricing; Curve Fitting and a Two Factor Model; A Credit Default Model; Pricing of Caps and Swaptions on the LIBOR; The Brace - Gatarek - Musiela (BGM) Model; Mathematical Tools; Some Recent Developments; Solutions to the Exercises.

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