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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
R2,316 Discovery Miles 23 160 Ships in 12 - 19 working days

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.

Stochastic Analysis with Financial Applications - Hong Kong 2009 (Hardcover, 2011 ed.): Arturo Kohatsu-Higa, Nicolas Privault,... Stochastic Analysis with Financial Applications - Hong Kong 2009 (Hardcover, 2011 ed.)
Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu
R2,946 Discovery Miles 29 460 Ships in 10 - 15 working days

Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.

Introduction to Stochastic Finance with Market Examples (Hardcover, 2nd edition): Nicolas Privault Introduction to Stochastic Finance with Market Examples (Hardcover, 2nd edition)
Nicolas Privault
R3,072 Discovery Miles 30 720 Ships in 9 - 17 working days

Features: New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility. Contains over 235 exercises, and 16 problems with complete solutions. Added over 150 graphs and figures, for more than 250 in total, to optimize presentation. 57 R coding examples now integrated into the book for implementation of the methods. Substantially class-tested, so ideal for course use or self-study.

Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) (Hardcover): Nicolas Privault Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) (Hardcover)
Nicolas Privault
R3,087 Discovery Miles 30 870 Ships in 10 - 15 working days

This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.

Probability on Real Lie Algebras (Hardcover): Uwe Franz, Nicolas Privault Probability on Real Lie Algebras (Hardcover)
Uwe Franz, Nicolas Privault
R3,403 Discovery Miles 34 030 Ships in 12 - 19 working days

This monograph is a progressive introduction to non-commutativity in probability theory, summarizing and synthesizing recent results about classical and quantum stochastic processes on Lie algebras. In the early chapters, focus is placed on concrete examples of the links between algebraic relations and the moments of probability distributions. The subsequent chapters are more advanced and deal with Wigner densities for non-commutative couples of random variables, non-commutative stochastic processes with independent increments (quantum Levy processes), and the quantum Malliavin calculus. This book will appeal to advanced undergraduate and graduate students interested in the relations between algebra, probability, and quantum theory. It also addresses a more advanced audience by covering other topics related to non-commutativity in stochastic calculus, Levy processes, and the Malliavin calculus.

Stochastic Analysis with Financial Applications - Hong Kong 2009 (Paperback, 2011 ed.): Arturo Kohatsu-Higa, Nicolas Privault,... Stochastic Analysis with Financial Applications - Hong Kong 2009 (Paperback, 2011 ed.)
Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu
R2,916 Discovery Miles 29 160 Ships in 10 - 15 working days

Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.

Stochastic Analysis in Discrete and Continuous Settings - With Normal Martingales (Paperback, 2009 ed.): Nicolas Privault Stochastic Analysis in Discrete and Continuous Settings - With Normal Martingales (Paperback, 2009 ed.)
Nicolas Privault
R1,633 Discovery Miles 16 330 Ships in 10 - 15 working days

This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.

Understanding Markov Chains - Examples and Applications (Paperback, 2nd ed. 2018): Nicolas Privault Understanding Markov Chains - Examples and Applications (Paperback, 2nd ed. 2018)
Nicolas Privault
R1,054 Discovery Miles 10 540 Ships in 9 - 17 working days

This book provides an undergraduate-level introduction to discrete and continuous-time Markov chains and their applications, with a particular focus on the first step analysis technique and its applications to average hitting times and ruin probabilities. It also discusses classical topics such as recurrence and transience, stationary and limiting distributions, as well as branching processes. It first examines in detail two important examples (gambling processes and random walks) before presenting the general theory itself in the subsequent chapters. It also provides an introduction to discrete-time martingales and their relation to ruin probabilities and mean exit times, together with a chapter on spatial Poisson processes. The concepts presented are illustrated by examples, 138 exercises and 9 problems with their solutions.

Elementary Introduction To Stochastic Interest Rate Modeling, An (Hardcover): Nicolas Privault Elementary Introduction To Stochastic Interest Rate Modeling, An (Hardcover)
Nicolas Privault 1
R2,446 Discovery Miles 24 460 Ships in 12 - 19 working days

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.

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