An Elementary Introduction To Stochastic Interest Rate Modeling
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An Elementary Introduction To Stochastic Interest Rate Modeling
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Author : Nicolas Privault
language : en
Publisher: World Scientific
Release Date : 2012
An Elementary Introduction To Stochastic Interest Rate Modeling written by Nicolas Privault and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
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.
An Elementary Introduction To Stochastic Interest Rate Modeling
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Author : Nicolas Privault
language : en
Publisher: World Scientific
Release Date : 2008
An Elementary Introduction To Stochastic Interest Rate Modeling written by Nicolas Privault and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Science categories.
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.
An Elementary Introduction To Stochastic Interest Rate Modeling
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Author : Nicolas Privault
language : en
Publisher:
Release Date : 2008
An Elementary Introduction To Stochastic Interest Rate Modeling written by Nicolas Privault and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Elementary Introduction To Stochastic Interest Rate Modeling An 2nd Edition
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Author : Nicolas Privault
language : en
Publisher: World Scientific
Release Date : 2012-05-04
Elementary Introduction To Stochastic Interest Rate Modeling An 2nd Edition written by Nicolas Privault and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-04 with Mathematics categories.
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.
An Introduction To Stochastic Modeling
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Author : Howard M. Taylor
language : en
Publisher: Academic Press
Release Date : 2014-05-10
An Introduction To Stochastic Modeling written by Howard M. Taylor and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Mathematics categories.
An Introduction to Stochastic Modeling, Revised Edition provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Martingale Methods In Financial Modelling
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Author : Marek Musiela
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-20
Martingale Methods In Financial Modelling written by Marek Musiela and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-20 with Mathematics categories.
A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models
Stochastic Finance
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Author : Nicolas Privault
language : en
Publisher: CRC Press
Release Date : 2013-12-20
Stochastic Finance written by Nicolas Privault and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-20 with Business & Economics categories.
Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.
Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing Third Edition
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Author : Nicolas Privault
language : en
Publisher: World Scientific
Release Date : 2021-09-02
Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing Third Edition written by Nicolas Privault and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-02 with Mathematics categories.
This 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.
Stochastic Processes And Calculus
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Author : Uwe Hassler
language : en
Publisher: Springer
Release Date : 2019-03-30
Stochastic Processes And Calculus written by Uwe Hassler and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-30 with Business & Economics categories.
This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they play a decisive role in the modeling of financial markets and as a basis for modern time series econometrics. Mathematical theory is applied to solve stochastic differential equations and to derive limiting results for statistical inference on nonstationary processes. This introduction is elementary and rigorous at the same time. On the one hand it gives a basic and illustrative presentation of the relevant topics without using many technical derivations. On the other hand many of the procedures are presented at a technically advanced level: for a thorough understanding, they are to be proven. In order to meet both requirements jointly, the present book is equipped with a lot of challenging problems at the end of each chapter as well as with the corresponding detailed solutions. Thus the virtual text - augmented with more than 60 basic examples and 40 illustrative figures - is rather easy to read while a part of the technical arguments is transferred to the exercise problems and their solutions.
Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective
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Author : René Carmona
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-05-22
Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective written by René Carmona and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-22 with Mathematics categories.
This 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