An elementary introduction to stochastic interest rate modeling.
zbMATH Open1248.91002MaRDI QIDQ2891963FDOQ2891963
Authors: Nicolas Privault 
Publication date: 18 June 2012
Published in: Advanced Series on Statistical Science \& Applied Probability (Search for Journal in Brave)
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814390866/toc.shtml
Recommendations
- Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing
- Term-structure models. A graduate course
- Interest rate modeling. Theory and practice.
- Stochastic Interest Rates
- Interest rate models -- theory and practice. With smile, inflation and credit
- Interest-rate management
- An elementary introduction to stochastic interest rate modeling.
- Interest rate modelling.
- Interest rate models: an introduction
- Implementation and performance of various stochastic models for interest rate derivatives
Brownian motionGirsanov theoremstochastic integrationswaptionszero-coupon bondscredit default modelforward measure and derivative pricingforward rate modelingshort term interest rate models
Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cited In (15)
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Interest rate models -- theory and practice. With smile, inflation and credit
- Calculation of the convexity adjustment to the forward rate in the Vašíček model for the forward in-arrears contracts on LIBOR rate
- A Simple Stochastic Rate Model for Rate Equity Hybrid Products
- Title not available (Why is that?)
- A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
- Term-structure models. A graduate course
- Interest rate models -- theory and practice
- Interest rate models: an introduction
- Modeling fixed income securities and interest rate options
- Interest rate models: an infinite dimensional stochastic analysis perspective
- An elementary introduction to stochastic interest rate modeling.
- Interest rate modeling. Theory and practice.
- Interest rate derivatives. Valuation, calibration and sensitivity analysis
- Elementary price indices under the GBM price model
This page was built for publication: An elementary introduction to stochastic interest rate modeling.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2891963)
