Stochastic interest rate modeling with fixed income derivative pricing (Record no. 72764)
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| fixed length control field | 03398nam a2200469 a 4500 |
| 001 - CONTROL NUMBER | |
| control field | 00012000 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20220711214214.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 211002s2021 si a ob 001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 9789811226618 |
| -- | (ebook) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 981122661X |
| -- | (ebook) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| -- | (hbk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| -- | (hbk.) |
| 082 04 - CLASSIFICATION NUMBER | |
| Call Number | 332.63/230151922 |
| 100 1# - AUTHOR NAME | |
| Author | Privault, Nicolas. |
| 245 10 - TITLE STATEMENT | |
| Title | Stochastic interest rate modeling with fixed income derivative pricing |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 3rd ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication | Singapore : |
| Publisher | World Scientific, |
| Year of publication | 2021. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | 1 online resource (372 p.) : |
| 490 1# - SERIES STATEMENT | |
| Series statement | Advanced series on statistical science & applied probability ; |
| 500 ## - GENERAL NOTE | |
| Remark 1 | Previous ed. published as: An elementary introduction to stochastic interest rate modeling. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Remark 2 | A review of stochastic calculus -- A review of Black-Scholes pricing and hedging -- Short-term interest rate models -- Pricing of zero-coupon and coupon bonds -- Forward rates and swap rates -- Curve fitting and a two-factor model -- Forward rate modeling -- Forward measures and derivative pricing -- Pricing of caps and swaptions -- Default bond pricing -- Appendix: Mathematical tools -- Solutions to the exercises. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | "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."-- |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| General subdivision | Mathematical models. |
| 700 1# - AUTHOR 2 | |
| Author 2 | Privault, Nicolas. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | https://www.worldscientific.com/worldscibooks/10.1142/12000#t=toc |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | eBooks |
| 520 ## - SUMMARY, ETC. | |
| -- | Publisher's website. |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Interest rate futures |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Stochastic models. |
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