Mendeley出力
＜図書＞
An elementary introduction to stochastic interest rate modeling
| 責任表示 | Nicolas Privault |
|---|---|
| シリーズ | Advanced series on statistical science & applied probability ; v. 12 |
| データ種別 | 図書 |
| 出版情報 | New Jersey : World Scientific , c2008 |
| 本文言語 | 英語 |
| 大きさ | xi, 178 p. : ill. ; 24 cm |
| 概要 | 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 mo...els 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. Book jacket.続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
|---|---|---|---|---|---|---|---|---|---|---|
|
|
|
理系図3F 数理独自 | PRIV/20/1 | 2008 |
|
023212008005566 |
|
書誌詳細
| 一般注記 | Includes bibliographical references and index |
|---|---|
| 著者標目 | *Privault, Nicolas |
| 書誌ID | 1001345206 |
| ISBN | 9789812832733 |
| NCID | BA87720250 |
| 巻冊次 | ISBN:9789812832733 ; XISBN:9812832734 |
| 登録日 | 2009.09.18 |
| 更新日 | 2009.11.02 |