Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing (Third Edition)
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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,...
Format:Hardcover
Language:English
ISBN:9811226601
ISBN13:9789811226601
Release Date:September 2021
Publisher:World Scientific Publishing Company
Length:372 Pages
Weight:1.47 lbs.
Dimensions:0.9" x 6.0" x 9.0"
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