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

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A Hardback by Nicolas Privault

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

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

    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.

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