An elementary introduction to stochastic interest rate modeling.

MaRDI QIDQ2891963zbMATH OpenFDO

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

zbMATH Keywords

Brownian motionGirsanov theoremstochastic integrationswaptionszero-coupon bondscredit default modelforward measure and derivative pricingforward rate modelingshort term interest rate models

Mathematics Subject Classification ID

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)

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Cited in

(15)

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• Term-structure models. A graduate course
• Elementary price indices under the GBM price model
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• Interest rate models: an infinite dimensional stochastic analysis perspective
• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
• scientific article; zbMATH DE number 1505639 (Why is no real title available?)
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