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Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) (Hardcover, 2nd Revised edition)
Loot Price: R2,316
Discovery Miles 23 160
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Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) (Hardcover, 2nd Revised edition)
Series: Advanced Series on Statistical Science & Applied Probability, 16
Expected to ship within 12 - 19 working days
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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.
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