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ELEMEN INTRO STOCH INTER RATE..2 ED (Advanced Series on Statistical Science & Applied Probability, Band 16) - Hardcover

Privault, Nicolas

 
9789814390859: ELEMEN INTRO STOCH INTER RATE..2 ED (Advanced Series on Statistical Science & Applied Probability, Band 16)
Hardcover
ISBN 10: 9814390852 ISBN 13: 9789814390859
Verlag: World Scientific, 2012

Inhaltsangabe

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.

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Von der hinteren Coverseite

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.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
World Scientific
Erscheinungsdatum
2012
Sprache
Englisch
ISBN 10 
9814390852
ISBN 13 
9789814390859
Einband
Gebundene Ausgabe
Auflage
2
Anzahl der Seiten
244
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
gpsr@libri.de
gpsr@libri.de

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