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An Elementary Introduction to Stochastic Interest Rate Modeling

Edition: 
2
Publisher: 
World Scientific
Number of Pages: 
228
Price: 
88.00
ISBN: 
9789814390859
Date Received: 
Friday, October 12, 2012
Reviewable: 
No
Include In BLL Rating: 
No
Reviewer Email Address: 
Nicolas Privault
Series: 
Advanced Series on Statistical Science and Applied Probability 16
Publication Date: 
2012
Format: 
Hardcover
Category: 
Monograph
  • A Review of Stochastic Calculus
  • A Review of Black–Scholes Pricing and Hedging
  • Short Term Interest Rate Models
  • Pricing of Zero-Coupon Bonds
  • Forward Rate Modeling
  • The Heath–Jarrow–Morton (HJM) Model
  • The Forward Measure and Derivative Pricing
  • Curve Fitting and a Two Factor Model
  • A Credit Default Model
  • Pricing of Caps and Swaptions on the LIBOR
  • The Brace–Gatarek–Musiela (BGM) Model
  • Mathematical Tools
  • Some Recent Developments
  • Solutions to the Exercises
Publish Book: 
Modify Date: 
Friday, October 12, 2012

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