An Elementary Introduction to Stochastic Interest Rate Modeling: 12 - Rilegato

Privault, Nicolas

 
9789812832733: An Elementary Introduction to Stochastic Interest Rate Modeling: 12
Rilegato
ISBN 10: 9812832734 ISBN 13: 9789812832733
Casa editrice: World Scientific Pub Co Inc, 2008

Sinossi

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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Editore
World Scientific Pub Co Inc
Data di pubblicazione
2008
Lingua
Inglese
ISBN 10 
9812832734
ISBN 13 
9789812832733
Rilegatura
Copertina rigida
Numero di pagine
178
Contatto del produttore
non disponibile
Persona responsabile
non disponibile