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关键词：
Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing
书目信息
ISBN：
9789811226618
本馆索书号：
中图分类号：
F83
中文译名：
固定收益衍生产品定价的随机利率模型（第三版）
作者：
Nicolas Privault
编者：
语种：
英语
出版信息
出版社：
WSPC
出版地：
出版年：
2021
版本：
版本类型：
原版
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卷期：
文献信息
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摘要：
内容简介：
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.
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全文链接：
3rd ed.
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