Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing Third Edition

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Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition)

Nicolas Privault
Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing Third Edition Book PDF

Author : Nicolas Privault
Publisher : World Scientific
Page : 373 pages
File Size : 55,7 Mb
Release : 2021-09-02
Category : Mathematics
ISBN : 9789811226625

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Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) by Nicolas Privault Pdf

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.

An Elementary Introduction to Stochastic Interest Rate Modeling

Nicolas Privault
An Elementary Introduction to Stochastic Interest Rate Modeling Book PDF

Author : Nicolas Privault
Publisher : World Scientific
Page : 243 pages
File Size : 45,6 Mb
Release : 2012
Category : Interest rate futures
ISBN : 9789814390859

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An Elementary Introduction to Stochastic Interest Rate Modeling by Nicolas Privault Pdf

Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students. This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.

Modeling Fixed-Income Securities and Interest Rate Options

Robert A. Jarrow
Modeling Fixed Income Securities and Interest Rate Options Book PDF

Author : Robert A. Jarrow
Publisher : Stanford University Press
Page : 376 pages
File Size : 50,9 Mb
Release : 2002
Category : Business & Economics
ISBN : 0804744386

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Modeling Fixed-Income Securities and Interest Rate Options by Robert A. Jarrow Pdf

This text seeks to teach the basics of fixed-income securities in a way that requires a minimum of prerequisites. Its approach - the Heath Jarrow Morton model - under which all other models are presented as special cases, aims to enhance understanding while avoiding repetition.

An Elementary Introduction to Stochastic Interest Rate Modeling

Nicolas Privault
An Elementary Introduction to Stochastic Interest Rate Modeling Book PDF

Author : Nicolas Privault
Publisher : World Scientific
Page : 243 pages
File Size : 40,5 Mb
Release : 2012
Category : Business & Economics
ISBN : 9789814390866

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An Elementary Introduction to Stochastic Interest Rate Modeling by Nicolas Privault Pdf

Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students. This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.

Modeling Fixed Income Securities and Interest Rate Options

Robert Jarrow
Modeling Fixed Income Securities and Interest Rate Options Book PDF

Author : Robert Jarrow
Publisher : CRC Press
Page : 268 pages
File Size : 42,9 Mb
Release : 2019-09-17
Category : Mathematics
ISBN : 9780429780202

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Modeling Fixed Income Securities and Interest Rate Options by Robert Jarrow Pdf

Modeling Fixed Income Securities and Interest Rate Options, Third Edition presents the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easily be learned "on the job," the third edition of this classic textbook is more focused with presenting a coherent theoretical framework for understanding all basic models. The author’s unified approach—the Heath Jarrow Morton model—under which all other models are presented as special cases, enhances understanding of the material. The author’s pricing model is widely used in today’s securities industry. This new edition offers many updates to align with advances in the research and requires a minimum of prerequisites while presenting the basics of fixed-income securities. Highlights of the Third Edition Chapters 1-16 completely updated to align with advances in research Thoroughly eliminates out-of-date material while advancing the presentation Includes an ample amount of exercises and examples throughout the text which illustrate key concepts .

Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition)

Nicolas Privault
Elementary Introduction To Stochastic Interest Rate Modeling An 2nd Edition Book PDF

Author : Nicolas Privault
Publisher : World Scientific
Page : 244 pages
File Size : 44,8 Mb
Release : 2012-05-04
Category : Mathematics
ISBN : 9789814401647

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Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) by Nicolas Privault Pdf

Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students.This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.

Interest Rate Risk Modeling

Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Interest Rate Risk Modeling Book PDF

Author : Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Publisher : John Wiley & Sons
Page : 432 pages
File Size : 42,8 Mb
Release : 2005-05-31
Category : Business & Economics
ISBN : 9780471737445

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Interest Rate Risk Modeling by Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva Pdf

The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysiscomprehensively covers the most definitive work on interest raterisk, term structure analysis, and credit risk. The first book oninterest rate risk modeling examines virtually every well-known IRRmodel used for pricing and risk analysis of various fixed incomesecurities and their derivatives. The companion CD-ROM containnumerous formulas and programming tools that allow readers tobetter model risk and value fixed income securities. Thiscomprehensive resource provides readers with the hands-oninformation and software needed to succeed in this financialarena.

An Elementary Introduction to Stochastic Interest Rate Modeling

Nicolas Privault
An Elementary Introduction to Stochastic Interest Rate Modeling Book PDF

Author : Nicolas Privault
Publisher : World Scientific Publishing Company
Page : 192 pages
File Size : 49,8 Mb
Release : 2008-10-13
Category : Business & Economics
ISBN : 9789813107304

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An Elementary Introduction to Stochastic Interest Rate Modeling by Nicolas Privault Pdf

This textbook is written as an accessible introduction to interest rate modeling and related derivatives, which have become increasingly important subjects of interest in financial mathematics. The models considered range from standard short rate to forward rate models and include more advanced topics such as the BGM model and an approach to its calibration. An elementary treatment of the pricing of caps and swaptions under forward measures is also provided, with a focus on explicit calculations and a step-by-step introduction of concepts. Each chapter is accompanied with exercises and their complete solutions, making this book suitable for advanced undergraduate or beginning graduate-level students.

Fixed-Income Securities

Lionel Martellini,Philippe Priaulet
Fixed Income Securities Book PDF

Author : Lionel Martellini,Philippe Priaulet
Publisher : Wiley
Page : 0 pages
File Size : 40,9 Mb
Release : 2001-02-08
Category : Business & Economics
ISBN : 0471495026

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Fixed-Income Securities by Lionel Martellini,Philippe Priaulet Pdf

Dynamic methods for interest rate risk pricing and hedging. Fixed-Income Securities provides a survey of modern methods forpricing and hedging fixed-income securities in the presence ofinterest rate risk. Modern theory of finance provides a wealth ofnew approaches to the important question of interest rate riskmanagement, and this book brings them together, in a comprehensiveand thorough treatment of the subject. Structured in an accessible manner, the authors begin by focusingon pricing and hedging certain cash flows, before moving on toconsider pricing and hedging uncertain cash flows. In addition tothe theoretical explanation, the authors provide numerousreal-world examples and applications throughout. This is the first book I have seen to carefully cover such a wideset of topics in both theoretical and applied fixed-incomemodelling, ranging from the use of market information to obtainyield curves, to the pricing and hedging of bonds and fixed-incomederivatives, to the currently active topic of defaultableyield-curve modelling. It will be particularly useful topractitioners.Darrell Duffie, Stanford University This is the most comprehensive theoretical treatment of thesubject I ve ever seen. Mark Rubinstein, Haas School of Business,University of California An excellent review of interest rate models and of the pricing andhedging principles in the fixed-income area.Oldrich Alfons Vasicek,KMV Corporation

Dynamic Term Structure Modeling

Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Dynamic Term Structure Modeling Book PDF

Author : Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva
Publisher : John Wiley & Sons
Page : 722 pages
File Size : 50,5 Mb
Release : 2007-05-23
Category : Business & Economics
ISBN : 9780470140062

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Dynamic Term Structure Modeling by Sanjay K. Nawalkha,Gloria M. Soto,Natalia A. Beliaeva Pdf

Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

Modelling Fixed Income Securities and Interest Rate Options

Robert A. Jarrow
Modelling Fixed Income Securities and Interest Rate Options Book PDF

Author : Robert A. Jarrow
Publisher : McGraw-Hill Companies
Page : 304 pages
File Size : 42,9 Mb
Release : 1996
Category : Business & Economics
ISBN : UOM:39015042922479

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Modelling Fixed Income Securities and Interest Rate Options by Robert A. Jarrow Pdf

This text is designed for courses on fixed income securities at the MBA level and graduate level courses in finance. The goal of the text is to provide comprehensive coverage of fixed income instruments and models. A risk management perspective of option theory is presented throughout. The text adopts a non-institutional, binomial approach to fixed income securities based on option pricing technologies, providing cutting-edge theory and technique. While the book is based on the Heath-Jarrow-Morton (HJM) model of interest rate options, discussions also compare and contrast other related models such as the Hall-White model. In addition, traditional techniques of duration and convexity are discussed as these relate to the HJM model. Statistics and algebra are prerequisites.

Fixed Income Securities

Bruce Tuckman,Angel Serrat
Fixed Income Securities Book PDF

Author : Bruce Tuckman,Angel Serrat
Publisher : John Wiley & Sons
Page : 640 pages
File Size : 46,6 Mb
Release : 2011-11-08
Category : Business & Economics
ISBN : 9780470891698

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Fixed Income Securities by Bruce Tuckman,Angel Serrat Pdf

Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates. [FOR THE UNIVERSITY EDITION] This university edition includes problems which students can use to test and enhance their understanding of the text.

Interest Rate Modeling

Lixin Wu
Interest Rate Modeling Book PDF

Author : Lixin Wu
Publisher : CRC Press
Page : 325 pages
File Size : 47,7 Mb
Release : 2019-03-04
Category : Mathematics
ISBN : 9781351227407

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Interest Rate Modeling by Lixin Wu Pdf

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment New to the 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.

Innovations in Derivatives Markets

Kathrin Glau,Zorana Grbac,Matthias Scherer,Rudi Zagst
Innovations in Derivatives Markets Book PDF

Author : Kathrin Glau,Zorana Grbac,Matthias Scherer,Rudi Zagst
Publisher : Springer
Page : 449 pages
File Size : 44,6 Mb
Release : 2016-12-02
Category : Mathematics
ISBN : 9783319334462

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Innovations in Derivatives Markets by Kathrin Glau,Zorana Grbac,Matthias Scherer,Rudi Zagst Pdf

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

Fixed Income and Interest Rate Derivative Analysis

Mark Britten-Jones
Fixed Income and Interest Rate Derivative Analysis Book PDF

Author : Mark Britten-Jones
Publisher : Elsevier
Page : 220 pages
File Size : 43,5 Mb
Release : 1998-10-15
Category : Business & Economics
ISBN : 9780080506548

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Fixed Income and Interest Rate Derivative Analysis by Mark Britten-Jones Pdf

Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance. A comprehensive and accessible explanation of underlying theory, and its practical application Case studies and worked examples from around the world's capital markets How to use spreadsheet modelling in fixed income and interest rate derivative valuation