Home › Hardcover Books › Stoch Intere Rate Model (3rd Ed)
  • Stoch Intere Rate Model (3rd Ed) by Privault Nicolas book cover
1 1

Stoch Intere Rate Model (3rd Ed)

by Privault Nicolas

Be the first to review this book

Stochastic interest-rate models, from foundations to derivatives

$123.85 USD
$137.62 USD $123.85 USD
Save 10%

Hardcover New English

Delivery to your door
In stock·Dispatches in 1–2 business days
Standard shipping* from $4.35
Standard shipping transit* 5–8 business days after dispatch

Faster options are available.

Rates and delivery estimates depend on your destination and item quantity. Estimates are informational only; the final shipping method and rate are selected at checkout.
Secure checkout
American Express Apple Pay DiscoverGoogle Pay Mastercard PayPalVisa
30-day eligible returns Returns & refunds policy

AlbakiReads Editorial

Stochastic interest-rate models, from foundations to derivatives

Nicolas Privault’s third edition develops the mathematics behind stochastic interest-rate modeling and the pricing of related derivatives. Its scope runs from short rates to forward rates, including LIBOR and swap rates in the HJM and BGM frameworks, then applies forward-measure techniques to bond options, caps, swaptions, and other fixed-income derivatives. Default bond pricing and model calibration broaden the coverage. The revised chapters add solved exercises, graphs, and market-data simulations, with accompanying R code. Across 75 exercises and four problems, detailed solutions support a calculation-focused treatment of the subject.

Good fit for readers who enjoy

  • Advanced undergraduate and graduate students studying mathematical finance or interest-rate modeling
  • Readers seeking worked exercises and R-based market-data simulations alongside theory
  • Practitioners or researchers reviewing models for interest rates and fixed-income derivatives

Themes

Stochastic interest-rate modelingDerivative pricing and hedgingFixed-income marketsModel calibrationMathematical exercises and computation

Based on publisher information and book metadata.

Book overview

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.

Shipping & returnsShipping options, delivery timing, and our return policy.

In-stock items normally dispatch within 1–2 business days. The ZIP-code estimator on this page is informational only; the final shipping method, price, and availability are confirmed at checkout for your full order.

For the initial delivery estimate we use these transit windows after dispatch: Standard 5–8 business days, Expedited 2–4 business days, and Priority 1–2 business days. Holiday delays are not included.

Eligible items can be returned within 30 days in accordance with our return policy.

Customer reviews

You may also like

View all