Stochastic Interest Rates
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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.
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.
An Elementary Introduction To Stochastic Interest Rate Modeling
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Author : Nicolas Privault
language : en
Publisher: World Scientific Publishing Company
Release Date : 2008-10-13
An Elementary Introduction To Stochastic Interest Rate Modeling written by Nicolas Privault and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-13 with Business & Economics 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.
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.
Stochastic Interest Rates
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Author : Daragh McInerney
language : en
Publisher: Cambridge University Press
Release Date : 2015-08-13
Stochastic Interest Rates written by Daragh McInerney and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-13 with Business & Economics categories.
Designed for Master's students, this practical text strikes the right balance between mathematical rigour and real-world application.
A Pricing Model For American Options With Stochastic Interest Rates
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Author : Albert Jan Menkveld
language : en
Publisher:
Release Date : 1998
A Pricing Model For American Options With Stochastic Interest Rates written by Albert Jan Menkveld and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Pricing American Options With Stochastic Interest Rates
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Author : Kaushik Ishwar Amin
language : en
Publisher:
Release Date : 1992
Pricing American Options With Stochastic Interest Rates written by Kaushik Ishwar Amin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with International finance categories.
Stochastic Interest Rates For Local Volatility Hybrids Models
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Author : Eric Benhamou
language : en
Publisher:
Release Date : 2008
Stochastic Interest Rates For Local Volatility Hybrids Models written by Eric Benhamou 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.
This paper studies the impact of stochastic interest rates for local volatility hybrids. Our research shows that it is possible to explicitly determine the bias between the local volatility of a model with stochastic interest rates and the local volatility of the same model, but with deterministic interest rates as a function between the correlation of the stochastic interest rates and the digital at the local strike. The paper will show that this bias can be expressed in a simpler form under the assumption of a diffusion of the stochastic interest rates, enabling us to compute a fast calibration for a hybrid model with stochastic interest rates. This bias leads to a decrease in the value of the local volatility as a result of the induced volatility caused by the stochastic drift. Numerical results illustrate the importance of the bias and confirm that some stochastic noise arises from the stochastic drift.
The Stochastic Volatility Of Short Term Interest Rates
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Author : Clifford A. Ball
language : en
Publisher:
Release Date : 1998
The Stochastic Volatility Of Short Term Interest Rates written by Clifford A. Ball and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Building And Using Dynamic Interest Rate Models
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Author : Ken O. Kortanek
language : en
Publisher: John Wiley & Sons
Release Date : 2001-11-28
Building And Using Dynamic Interest Rate Models written by Ken O. Kortanek and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-11-28 with Business & Economics categories.
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.