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Focusing on stochastic interest rate modeling, this book provides a detailed, step-by-step approach to understanding and calculating various interest rates, including short rates and forward rates like LIBOR and swap rates within the HJM and BGM frameworks. It covers the pricing and hedging of derivatives such as bond options, caps, and swaptions using forward measure techniques. Additionally, it introduces concepts of default bond pricing and model calibration, making it a comprehensive resource for those interested in financial mathematics and derivative pricing.
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STOCH INTERE RATE MODEL (3RD ED), Nicolas Privault
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- Pubblicato
- 2021
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