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An Elementary Introduction To Stochastic Interest Rate Modeling 2nd Edition Nicolas Privault

  • SKU: BELL-4681538
An Elementary Introduction To Stochastic Interest Rate Modeling 2nd Edition Nicolas Privault
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An Elementary Introduction To Stochastic Interest Rate Modeling 2nd Edition Nicolas Privault instant download after payment.

Publisher: World Scientific Publishing Company
File Extension: PDF
File size: 1.58 MB
Pages: 244
Author: Nicolas Privault
ISBN: 9789814390859, 9814390852
Language: English
Year: 2012
Edition: 2nd Edition

Product desciption

An Elementary Introduction To Stochastic Interest Rate Modeling 2nd Edition Nicolas Privault by Nicolas Privault 9789814390859, 9814390852 instant download after payment.

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.

Readership: Advanced undergraduates and graduate students in finance and actuarial science; practitioners involved in quantitative analysis of interest rate models.

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