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An elementary introduction to stochastic interest rate modeling

By: Series: Advanced series on statistical science & applied probability, vol. 16Publication details: 2012 World Scientific Publishing Co. Pte. Ltd., New JerseyEdition: 2nd edDescription: xiii, 228 pISBN:
  • 9789814390859
Subject(s): DDC classification:
  • 332.63230151922 P7E5
Summary: 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.
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Item type Current library Item location Collection Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 19-B / Slot 717 (0 Floor, West Wing) Non-fiction General Stacks 332.63230151922 P7E5 (Browse shelf(Opens below)) Available 178810

Includes bibliographical references (pages 221-223) and index.

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.

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