Elementary Introduction to Stochastic Interest Rate Modeling |
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| Author:
| Privault, Nicolas |
| Series title: | Advanced Series on Statistical Science and Applied Probability Ser. |
| ISBN: | 978-1-281-60363-0 |
| Publication Date: | Jan 2012 |
| Publisher: | World Scientific Publishing Co Pte Ltd
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| Book Format: | Ebook |
| List Price: | USD $114.00 |
Book Description:
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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...
More Description
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.Contents: A Review of Stochastic CalculusA Review of Black–Scholes Pricing and HedgingShort Term Interest Rate ModelsPricing of Zero-Coupon BondsForward Rate ModelingThe Heath–Jarrow–Morton (HJM) ModelThe Forward Measure and Derivative PricingCurve Fitting and a Two Factor ModelA Credit Default ModelPricing of Caps and Swaptions on the LIBORThe Brace–Gatarek–Musiela (BGM) ModelMathematical ToolsSome Recent DevelopmentsSolutions to the Exercises
Readership: Advanced undergraduates and graduate students in finance and actuarial science; practitioners involved in quantitative analysis of interest rate models.