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Author: Daragh McInerney
Publisher: Cambridge University Press
Published: 2015-08-13
Total Pages: 171
ISBN-13: 1107002575
DOWNLOAD EBOOKDesigned for Master's students, this practical text strikes the right balance between mathematical rigour and real-world application.
Author: Nicolas Privault
Publisher: World Scientific
Published: 2012
Total Pages: 243
ISBN-13: 9814390860
DOWNLOAD EBOOKInterest 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.
Author: René Carmona
Publisher: Springer Science & Business Media
Published: 2007-05-22
Total Pages: 236
ISBN-13: 3540270671
DOWNLOAD EBOOKThis book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Author: Nicolas Privault
Publisher: World Scientific
Published: 2021-09-02
Total Pages: 373
ISBN-13: 9811226628
DOWNLOAD EBOOKThis book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.
Author: Nicolas Privault
Publisher: World Scientific
Published: 2012-05-04
Total Pages: 243
ISBN-13: 9814401641
DOWNLOAD EBOOKInterest 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.
Author: Nicolas Privault
Publisher: World Scientific Publishing Company
Published: 2008-10-13
Total Pages: 191
ISBN-13: 9813107308
DOWNLOAD EBOOKThis 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.
Author: Ken O. Kortanek
Publisher: John Wiley & Sons
Published: 2001-11-28
Total Pages: 248
ISBN-13:
DOWNLOAD EBOOKThis book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Author: Lixin Wu
Publisher: CRC Press
Published: 2009-05-14
Total Pages: 356
ISBN-13: 1420090577
DOWNLOAD EBOOKContaining many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale app
Author: Albert Jan Menkveld
Publisher:
Published: 1998
Total Pages: 20
ISBN-13:
DOWNLOAD EBOOKAuthor: René Carmona
Publisher: Springer
Published: 2010-11-22
Total Pages: 0
ISBN-13: 9783642066009
DOWNLOAD EBOOKThis book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
