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Elementary Introduction to Stochastic Interest Rate Modeling, an (2nd Edition) de Nicolas Privault

Elementary Introduction to Stochastic Interest Rate Modeling, an (2nd Edition): Advanced Series on Statistical Science and Applied Probabili, cartea 16

Autor Nicolas Privault
en Limba Engleză Hardback – 3 mai 2012
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.
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Specificații

ISBN-13: 9789814390859
ISBN-10: 9814390852
Pagini: 244
Dimensiuni: 155 x 229 x 23 mm
Greutate: 0.52 kg
Ediția:Revised
Editura: World Scientific Publishing Company
Seria Advanced Series on Statistical Science and Applied Probabili

Cuprins

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.