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040 _aWSPC
_beng
_cWSPC
020 _a9789811226618
_q(ebook)
020 _a981122661X
_q(ebook)
020 _z9789811226601
_q(hbk.)
020 _z9811226601
_q(hbk.)
050 4 _aHG6024.5
_b.P75 2021
072 7 _aMAT
_x029000
_2bisacsh
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_x003000
_2bisacsh
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_x027000
_2bisacsh
082 0 4 _a332.63/230151922
_223
049 _aMAIN
100 1 _aPrivault, Nicolas.
_921185
245 1 0 _aStochastic interest rate modeling with fixed income derivative pricing
_h[electronic resource] /
_cNicolas Privault.
250 _a3rd ed.
260 _aSingapore :
_bWorld Scientific,
_c2021.
300 _a1 online resource (372 p.) :
_bill.
490 1 _aAdvanced series on statistical science & applied probability ;
_vvol. 22
500 _aPrevious ed. published as: An elementary introduction to stochastic interest rate modeling.
504 _aIncludes bibliographical references and index.
505 0 _aA 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 _a"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."--
_cPublisher's website.
538 _aMode of access: World Wide Web.
538 _aSystem requirements: Adobe Acrobat Reader.
650 0 _aInterest rate futures
_xMathematical models.
_921186
650 0 _aStochastic models.
_913059
655 0 _aElectronic books.
_93294
700 1 _aPrivault, Nicolas.
_tElementary introduction to stochastic interest rate modeling.
_921187
830 0 _aAdvanced series on statistical science & applied probability ;
_vvol. 22.
_921188
856 4 0 _uhttps://www.worldscientific.com/worldscibooks/10.1142/12000#t=toc
_zAccess to full text is restricted to subscribers.
942 _cEBK
999 _c72764
_d72764