Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Elemen Intro Stoch Inter Rate..2 Ed

Elemen Intro Stoch Inter Rate..2 Ed

Privault Nicolas

Hardcover

Series: Advanced Statistical Science and Applied Probability, Book 16

General MathematicsGeneral Science

ISBN10: 9814390852
ISBN13: 9789814390859
Publisher: World Scientific Publishing Company
Published: May 14 2012
Pages: 244
Weight: 1.15
Height: 0.90 Width: 6.10 Depth: 9.00
Language: English
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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