[PDF.46zv] AN ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING (Advanced Series on Statistical Science and Applied Probability)

AN ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING (Advanced Series on Statistical Science and Applied Probability)

[PDF.el91] AN ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING (Advanced Series on Statistical Science and Applied Probability)

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 | #6170307 in Books |  2008-10-13 | Original language:English | PDF # 1 |  9.00 x.70 x6.00l,1.05 | File type: PDF | 192 pages

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|| |All this and a little more is done in 133 pages, including exercises, making this text an attractive choice for a one-semester course at the graduate level. --Mathematical s

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...

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