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Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) (Hardcover, 2nd Revised edition) Loot Price: R2,227
Discovery Miles 22 270
Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) (Hardcover, 2nd Revised edition): Nicolas...

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

Nicolas Privault

Series: Advanced Series on Statistical Science & Applied Probability, 16

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Loot Price R2,227 Discovery Miles 22 270 | Repayment Terms: R209 pm x 12*

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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.

General

Imprint: World Scientific Publishing Co Pte Ltd
Country of origin: Singapore
Series: Advanced Series on Statistical Science & Applied Probability, 16
Release date: July 2012
First published: May 2012
Authors: Nicolas Privault
Dimensions: 230 x 157 x 23mm (L x W x T)
Format: Hardcover
Pages: 244
Edition: 2nd Revised edition
ISBN-13: 978-981-4390-85-9
Categories: Books > Business & Economics > Finance & accounting > Finance > General
Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
Books > Money & Finance > General
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LSN: 981-4390-85-2
Barcode: 9789814390859

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