Description

Book 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.

Elementary Introduction To Stochastic Interest

    Product form

    £57.95

    Includes FREE delivery

    RRP £61.00 – you save £3.05 (5%)

    Order before 4pm tomorrow for delivery by Thu 13 Aug 2026.

    A Hardback by Nicolas Privault

    Out of stock

      Trusted by thousands of customers. See 2,385+ Customer Reviews

      View other formats and editions of Elementary Introduction To Stochastic Interest by Nicolas Privault

      Publisher: World Scientific Publishing Co Pte Ltd
      Publication Date: Publication Date: 14/10/2008
      ISBN13: 9789812832733, 978-9812832733
      ISBN10: 9812832734

      Description

      Book 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.

      Recently viewed products

      © 2026 Book Curl

        • American Express
        • Apple Pay
        • Diners Club
        • Discover
        • Google Pay
        • Maestro
        • Mastercard
        • PayPal
        • Shop Pay
        • Union Pay
        • Visa

        Login

        Forgot your password?

        Don't have an account yet?
        Create account