ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN: 12 (Advanced Series on Statistical Science & Applied Probability) - Hardcover

PRIVAULT NICOLAS

 
9789812832733: ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN: 12 (Advanced Series on Statistical Science & Applied Probability)
Hardcover
ISBN 10: 9812832734 ISBN 13: 9789812832733
Publisher: World Scientific Publishing, 2008

Synopsis

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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Review

All this and a little more is done in 133 pages, including exercises, making this text an attractive choice for a one-semester course at the graduate level.
--Mathematical Reviews

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Publisher
World Scientific Publishing
Publication date
2008
Language
English
ISBN 10 
9812832734
ISBN 13 
9789812832733
Binding
Hardcover
Number of pages
192