Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective write by René Carmona. This book was released on 2007-05-22. Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective available in PDF, EPUB and Kindle. This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Infinite Dimensional Stochastic Analysis
Infinite Dimensional Stochastic Analysis - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Infinite Dimensional Stochastic Analysis write by Hui-Hsiung Kuo. This book was released on 2008. Infinite Dimensional Stochastic Analysis available in PDF, EPUB and Kindle. This volume contains current work at the frontiers of research in infinite dimensional stochastic analysis. It presents a carefully chosen collection of articles by experts to highlight the latest developments in white noise theory, infinite dimensional transforms, quantum probability, stochastic partial differential equations, and applications to mathematical finance. Included in this volume are expository papers which will help increase communication between researchers working in these areas. The tools and techniques presented here will be of great value to research mathematicians, graduate students and applied mathematicians.
Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition)
Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) write by Nicolas Privault. This book was released on 2021-09-02. Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) available in PDF, EPUB and Kindle. 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
An Elementary Introduction to Stochastic Interest Rate Modeling - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook An Elementary Introduction to Stochastic Interest Rate Modeling write by Nicolas Privault. This book was released on 2012. An Elementary Introduction to Stochastic Interest Rate Modeling available in PDF, EPUB and Kindle. 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.
Interest Rate Models - Theory and Practice
Interest Rate Models - Theory and Practice - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Interest Rate Models - Theory and Practice write by Damiano Brigo. This book was released on 2007-09-26. Interest Rate Models - Theory and Practice available in PDF, EPUB and Kindle. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
