An Elementary Introduction to Stochastic Interest Rate Modeling

This PDF book is become immediate popular in Business & Economics genre. An Elementary Introduction to Stochastic Interest Rate Modeling is written by famous author Nicolas Privault and Ready to Download in ePUB, PDF or Kindle formats. Released by World Scientific Publishing Company in 2008-10-13. Click Download Book button to get book file and read directly from your devices. Here is a quick description and cover image of An Elementary Introduction to Stochastic Interest Rate Modeling book.

An Elementary Introduction to Stochastic Interest Rate Modeling
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Publisher : World Scientific Publishing Company
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ISBN : 9789813107304
Pages : 192 pages
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An Elementary Introduction to Stochastic Interest Rate Modeling by Nicolas Privault Book PDF Summary

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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