Elementary Introduction To Stochastic Interest Rate Modeling An 2nd Edition

Author : Nicolas Privault
Publisher : World Scientific
ISBN 13 : 9814401641
Total Pages : 244 pages
Book Rating : 4.47/5 ( download)

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Download or read book Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) written by Nicolas Privault and published by World Scientific. This book was released on 2012-05-04 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Nicolas Privault
Publisher : World Scientific
ISBN 13 : 9814390860
Total Pages : 243 pages
Book Rating : 4.66/5 ( download)

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Download or read book An Elementary Introduction to Stochastic Interest Rate Modeling written by Nicolas Privault and published by World Scientific. This book was released on 2012 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Nicolas Privault
Publisher : World Scientific Publishing Company
ISBN 13 : 9813107308
Total Pages : 192 pages
Book Rating : 4.04/5 ( download)

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Download or read book An Elementary Introduction to Stochastic Interest Rate Modeling written by Nicolas Privault and published by World Scientific Publishing Company. This book was released on 2008-10-13 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Nicolas Privault
Publisher : World Scientific
ISBN 13 : 9811226628
Total Pages : 373 pages
Book Rating : 4.25/5 ( download)

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Download or read book Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) written by Nicolas Privault and published by World Scientific. This book was released on 2021-09-02 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Ole E Barndorff-Nielsen
Publisher : World Scientific Publishing Company
ISBN 13 : 9814678600
Total Pages : 344 pages
Book Rating : 4.05/5 ( download)

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Download or read book Change of Time and Change of Measure written by Ole E Barndorff-Nielsen and published by World Scientific Publishing Company. This book was released on 2015-05-07 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields. The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance. In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.

Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 9814401854
Total Pages : 255 pages
Book Rating : 4.52/5 ( download)

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Download or read book Modeling and Pricing in Financial Markets for Weather Derivatives written by Fred Espen Benth and published by World Scientific. This book was released on 2013 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania.The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts.

Author : Feng-Yu Wang
Publisher : World Scientific
ISBN 13 : 9814452653
Total Pages : 392 pages
Book Rating : 4.56/5 ( download)

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Download or read book Analysis for Diffusion Processes on Riemannian Manifolds written by Feng-Yu Wang and published by World Scientific. This book was released on 2014 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic analysis on Riemannian manifolds without boundary has been well established. However, the analysis for reflecting diffusion processes and sub-elliptic diffusion processes is far from complete. This book contains recent advances in this direction along with new ideas and efficient arguments, which are crucial for further developments. Many results contained here (for example, the formula of the curvature using derivatives of the semigroup) are new among existing monographs even in the case without boundary.

Author : Mark H A Davis
Publisher : World Scientific
ISBN 13 : 9814578061
Total Pages : 416 pages
Book Rating : 4.66/5 ( download)

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Download or read book Risk-Sensitive Investment Management written by Mark H A Davis and published by World Scientific. This book was released on 2014-07-21 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes. With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management. This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful. Contents:Diffusion Models:The Merton ProblemRisk-Sensitive Asset ManagementManaging Against a BenchmarkAsset and Liability ManagementInvestment ConstraintsInfinite Horizon ProblemsJump-Diffusion Models:Jumps in Asset PricesGeneral Jump-Diffusion SettingFund Separation and Fractional Kelly StrategiesManaging Against a Benchmark: Jump-Diffusion CaseAsset and Liability Management: Jump-Diffusion CaseImplementation:Factor and Securities ModelsCase StudiesNumerical MethodsFactor Estimation: Filtering and Black-Litterman Readership: Professionals, researchers, academics and graduate students in the field of investment management, stochastic optimization, stochastic analysis and probability, and quantitative finance. Key Features:Integrates advanced theoretical concepts into practical dynamic investmentDiscusses practical issues that will be relevant to practitioners, including parameter estimation, investment benchmarks, asset and liabilities management (ALM), investment constraints, and the Kelly criterionPresents a thorough treatment of jump diffusion models, including latest developments regarding classical solutions to jump diffusion control problemsWritten by professors with extensive experience on risk sensitive asset management and the relevant financial industry experienceKeywords:Stochastic Control;Risk Sensitive Control;Dynamic Investment Management;Benchmarked Asset Management;Asset and Liability Management;Jump Diffusion Processes;Lévy Processes;Hamilton–Jacobi–Bellman Equations;Classical Solutions;Viscosity Solutions;Kelly Criterion

Author : Englander Janos
Publisher : World Scientific
ISBN 13 : 9814569852
Total Pages : 288 pages
Book Rating : 4.59/5 ( download)

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Download or read book Spatial Branching In Random Environments And With Interaction written by Englander Janos and published by World Scientific. This book was released on 2014-11-20 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique volume discusses some recent developments in the theory of spatial branching processes and superprocesses, with special emphasis on spines, Laws of Large Numbers, interactions and random media.Although this book is mainly written for mathematicians, the models discussed are relevant to certain models in population biology, and are thus hopefully interesting to the applied mathematician/biologist as well.The necessary background material in probability and analysis is provided in a comprehensive introductory chapter. Historical notes and several exercises are provided to complement each chapter.

Author :
Publisher :
ISBN 13 : 9814466921
Total Pages : pages
Book Rating : 4.29/5 ( download)

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Download or read book Ruin Probabilities written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: