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Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics

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Elementary Introduction To Stochastic Interest Rate Modeling, An (Hardcover) Loot Price: R2,446
Discovery Miles 24 460
Repayment Terms: R229 pm x 12*
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Elementary Introduction To Stochastic Interest Rate Modeling, An (Hardcover): Nicolas Privault

Elementary Introduction To Stochastic Interest Rate Modeling, An (Hardcover)

Nicolas Privault

Series: Advanced Series on Statistical Science & Applied Probability, 12

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Loot Price R2,446 Discovery Miles 24 460 | Repayment Terms: R229 pm x 12*

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This textbook is written as an accessible introduction to interest rate modeling and related derivatives, which have become increasingly important subjects of interest in financial mathematics. The models considered range from standard short rate to forward rate models and include more advanced topics such as the BGM model and an approach to its calibration. An elementary treatment of the pricing of caps and swaptions under forward measures is also provided, with a focus on explicit calculations and a step-by-step introduction of concepts. Each chapter is accompanied with exercises and their complete solutions, making this book suitable for advanced undergraduate or beginning graduate-level students.

General

Imprint: World Scientific Publishing Co Pte Ltd
Country of origin: Singapore
Series: Advanced Series on Statistical Science & Applied Probability, 12
Release date: October 2008
First published: October 2008
Authors: Nicolas Privault
Dimensions: 239 x 161 x 18mm (L x W x T)
Format: Hardcover - Paper over boards
Pages: 192
ISBN-13: 978-981-283-273-3
Categories: Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
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LSN: 981-283-273-4
Barcode: 9789812832733

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