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

Author: Nicolas Privault

Publisher: World Scientific

Published: 2021-09-02

Total Pages: 373

ISBN-13: 9811226628

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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, 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.

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

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.

Modeling Fixed-Income Securities and Interest Rate Options

Author: Robert A. Jarrow

Publisher: Stanford University Press

Published: 2002

Total Pages: 376

ISBN-13: 9780804744386

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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.

Book Synopsis Modeling Fixed-Income Securities and Interest Rate Options by : Robert A. Jarrow

Download or read book Modeling Fixed-Income Securities and Interest Rate Options written by Robert A. Jarrow and published by Stanford University Press. This book was released on 2002 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Modeling Fixed Income Securities and Interest Rate Options

Author: Robert Jarrow

Publisher: CRC Press

Published: 2019-09-17

Total Pages: 385

ISBN-13: 0429780214

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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 .

Book Synopsis Modeling Fixed Income Securities and Interest Rate Options by : Robert Jarrow

Download or read book Modeling Fixed Income Securities and Interest Rate Options written by Robert Jarrow and published by CRC Press. This book was released on 2019-09-17 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 .

Interest Rate Risk Modeling

Author: Sanjay K. Nawalkha

Publisher: John Wiley & Sons

Published: 2005-05-31

Total Pages: 429

ISBN-13: 0471737445

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The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

Book Synopsis Interest Rate Risk Modeling by : Sanjay K. Nawalkha

Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2005-05-31 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

An Elementary Introduction to Stochastic Interest Rate Modeling

Author: Nicolas Privault

Publisher: World Scientific

Published: 2012

Total Pages: 243

ISBN-13: 9814390860

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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.

Book Synopsis An Elementary Introduction to Stochastic Interest Rate Modeling by : Nicolas Privault

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.

An Elementary Introduction to Stochastic Interest Rate Modeling

Author: Nicolas Privault

Publisher: World Scientific Publishing Company

Published: 2008-10-13

Total Pages: 192

ISBN-13: 9813107308

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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.

Book Synopsis An Elementary Introduction to Stochastic Interest Rate Modeling by : Nicolas Privault

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.

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

Author: Nicolas Privault

Publisher: World Scientific

Published: 2012-05-04

Total Pages: 243

ISBN-13: 9814401641

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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.

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

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 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.

Modelling Fixed Income Securities and Interest Rate Options

Author: Robert A. Jarrow

Publisher: McGraw-Hill Companies

Published: 1996

Total Pages: 304

ISBN-13:

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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.

Book Synopsis Modelling Fixed Income Securities and Interest Rate Options by : Robert A. Jarrow

Download or read book Modelling Fixed Income Securities and Interest Rate Options written by Robert A. Jarrow and published by McGraw-Hill Companies. This book was released on 1996 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Author: Bruce Tuckman

Publisher: John Wiley & Sons

Published: 2011-11-08

Total Pages: 640

ISBN-13: 0470891696

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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.

Book Synopsis Fixed Income Securities by : Bruce Tuckman

Download or read book Fixed Income Securities written by Bruce Tuckman and published by John Wiley & Sons. This book was released on 2011-11-08 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Dynamic Term Structure Modeling

Author: Sanjay K. Nawalkha

Publisher: John Wiley & Sons

Published: 2007-05-23

Total Pages: 722

ISBN-13: 0470140062

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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

Book Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha

Download or read book Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2007-05-23 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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