An elementary introduction to stochastic interest rate modeling:
Interest 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 ch...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific Pub. Co.
c2012
|
| Ausgabe: | 2nd ed |
| Schriftenreihe: | Advanced series on statistical science & applied probability
v. 16 |
| Schlagworte: | |
| Online-Zugang: | FHN01 URL des Erstveroeffentlichers |
| Zusammenfassung: | Interest 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 |
| Beschreibung: | xiii, 228 p. ill. (some col.) |
| ISBN: | 9789814390866 |
Internformat
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Datensatz im Suchindex
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| any_adam_object | |
| author | Privault, Nicolas |
| author_facet | Privault, Nicolas |
| author_role | aut |
| author_sort | Privault, Nicolas |
| author_variant | n p np |
| building | Verbundindex |
| bvnumber | BV044638870 |
| classification_rvk | SK 820 SK 980 |
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| dewey-full | 332.632301519 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632301519 |
| dewey-search | 332.632301519 |
| dewey-sort | 3332.632301519 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2nd ed |
| format | Electronic eBook |
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| id | DE-604.BV044638870 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T07:57:54Z |
| institution | BVB |
| isbn | 9789814390866 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030036842 |
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| physical | xiii, 228 p. ill. (some col.) |
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| spelling | Privault, Nicolas Verfasser aut An elementary introduction to stochastic interest rate modeling Nicolas Privault 2nd ed Singapore World Scientific Pub. Co. c2012 xiii, 228 p. ill. (some col.) txt rdacontent c rdamedia cr rdacarrier Advanced series on statistical science & applied probability v. 16 Interest 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 Interest rate futures / Mathematical models Stochastic models Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Zinsfuß (DE-588)4190927-6 gnd rswk-swf Zins (DE-588)4067845-3 gnd rswk-swf Zins (DE-588)4067845-3 s Stochastisches Modell (DE-588)4057633-4 s 1\p DE-604 Zinsfuß (DE-588)4190927-6 s 2\p DE-604 Erscheint auch als Druck-Ausgabe 9789814390859 Erscheint auch als Druck-Ausgabe 9814390852 http://www.worldscientific.com/worldscibooks/10.1142/8416#t=toc Verlag URL des Erstveroeffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Privault, Nicolas An elementary introduction to stochastic interest rate modeling Interest rate futures / Mathematical models Stochastic models Stochastisches Modell (DE-588)4057633-4 gnd Zinsfuß (DE-588)4190927-6 gnd Zins (DE-588)4067845-3 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4190927-6 (DE-588)4067845-3 |
| title | An elementary introduction to stochastic interest rate modeling |
| title_auth | An elementary introduction to stochastic interest rate modeling |
| title_exact_search | An elementary introduction to stochastic interest rate modeling |
| title_full | An elementary introduction to stochastic interest rate modeling Nicolas Privault |
| title_fullStr | An elementary introduction to stochastic interest rate modeling Nicolas Privault |
| title_full_unstemmed | An elementary introduction to stochastic interest rate modeling Nicolas Privault |
| title_short | An elementary introduction to stochastic interest rate modeling |
| title_sort | an elementary introduction to stochastic interest rate modeling |
| topic | Interest rate futures / Mathematical models Stochastic models Stochastisches Modell (DE-588)4057633-4 gnd Zinsfuß (DE-588)4190927-6 gnd Zins (DE-588)4067845-3 gnd |
| topic_facet | Interest rate futures / Mathematical models Stochastic models Stochastisches Modell Zinsfuß Zins |
| url | http://www.worldscientific.com/worldscibooks/10.1142/8416#t=toc |
| work_keys_str_mv | AT privaultnicolas anelementaryintroductiontostochasticinterestratemodeling |