Elementary Introduction To Stochastic Interest Rate Modeling, An - Advanced Series on Statistical Science & Applied Probability - Privault, Nicolas (Ntu, S'pore) - 書籍 - World Scientific Publishing Co Pte Ltd - 9789812832733 - 2008年10月1日
カバー画像とタイトルが一致しない場合、正しいのはタイトルです

Privault, Nicolas (Ntu, S'pore)
Elementary Introduction To Stochastic Interest Rate Modeling, An - Advanced Series on Statistical Science & Applied Probability

商品が入荷したらメールで通知を受け取る
プロフィールはありますか？ ログイン
Privault, Nicolas (Ntu, S'pore) の新しいリリースのお知らせを受け取る

お客様の声：

EU消費者保護法に基づく14日間の返品ポリシー
Trustpilotで高評価
iMusicのウィッシュリストに追加

まだ評価がありません

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.

Contents: A Review of Stochastic Calculus; A Review of Black Scholes Pricing; Short Term Interest Rate Models; Pricing of Zero-Coupon Bonds; Forward Rate Modeling; The Heath Jarrow Morton (HJM) Model; The Forward Measure and Derivative Pricing; Curve Fitting and a Two-Factor Model; Pricing of Caps and Swaptions on the LIBOR; The Brace Gatarek Musiela (BGM) Model; Mathematical Tools; Some Recent Developments; Solutions to the Exercises.

192 pages

メディア 書籍     Hardcover Book   (ハードカバー付きの本)
リリース済み 2008年10月1日
ISBN13 9789812832733
出版社 World Scientific Publishing Co Pte Ltd
ページ数 192
寸法 150 × 18 × 225 mm   ·   476 g
言語 英語  

同じ出版社からのその他の記事

Privault, Nicolas (Ntu, S'pore)のすべてを見る