ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN (Advanced Statistical Science and Applied Probability) - Hardcover
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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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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- PublisherWorld Scientific Publishing Company
- Publication date2008
- ISBN 10 9812832734
- ISBN 13 9789812832733
- BindingHardcover
- Number of pages192
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Elementary Introduction to Stochastic Interest Rate Modeling
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ISBN 13: 9789812832733
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AN ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING: Vol 12
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ISBN 10: 9812832734
ISBN 13: 9789812832733
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Book Description Hardcover. Condition: Brand New. illustrated edition. 178 pages. 9.00x6.25x0.75 inches. In Stock. Seller Inventory # __9812832734
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Elementary Introduction to Stochastic Interest Rate Modeling
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(2008)
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ISBN 13: 9789812832733
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Elementary Introduction To Stochastic Interest Rate Modeling, An (Hardcover)
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World Scientific Publishing Co Pte Ltd, Singapore
(2008)
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ISBN 13: 9789812832733
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Book Description Hardcover. Condition: new. Hardcover. 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. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. Seller Inventory # 9789812832733
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