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Stochastic Interest Rates, McInerney



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Цена: 4518р.
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Автор: McInerney
Название:  Stochastic Interest Rates
Перевод названия: Д.Маклерни: Стохастические процентные ставки
ISBN: 9780521175692
Издательство: Cambridge Academ
Классификация:
ISBN-10: 0521175690
Обложка/Формат: Paperback
Страницы: 169
Вес: 0.29 кг.
Дата издания: 10.08.2015
Серия: Mastering mathematical finance
Язык: English
Иллюстрации: Worked examples or exercises; 10 tables, black and white; 25 line drawings, unspecified
Размер: 154 x 228 x 14
Читательская аудитория: Tertiary education (us: college)
Ключевые слова: Finance,Insurance & actuarial studies, BUSINESS & ECONOMICS / Statistics
Основная тема: Statistics and probability
Ссылка на Издательство: Link
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Поставляется из: Англии



Stochastic Calculus for Finance II

Автор: Shreve, Steven E.
Название: Stochastic Calculus for Finance II
ISBN: 0387401016 ISBN-13(EAN): 9780387401010
Издательство: Springer
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Цена: 8160 р.
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Описание: Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.Master's level students and researchers in mathematical finance and financial engineering will find this book useful.

Stochastic Processes

Автор: Gallager
Название: Stochastic Processes
ISBN: 1107039754 ISBN-13(EAN): 9781107039759
Издательство: Cambridge Academ
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Цена: 11206 р.
Наличие на складе: Есть (1 шт.)
Описание: This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the world's leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.

Stochastic processes

Автор: Parzen, Emanuel
Название: Stochastic processes
ISBN: 0898714419 ISBN-13(EAN): 9780898714418
Издательство: Eurospan
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Цена: 11811 р.
Наличие на складе: Нет в наличии.

Описание: This introductory textbook explains how and why probability models are applied to scientific fields such as medicine, biology, physics, oceanography, economics, and psychology to solve problems about stochastic processes. It does not just show how a problem is solved but explains why by formulating questions and first steps in the solutions.

Elementary introduction to stochastic interest rate modeling

Автор: Privault, Nicolas
Название: Elementary introduction to stochastic interest rate modeling
ISBN: 9812832734 ISBN-13(EAN): 9789812832733
Издательство: World Scientific Publishing
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Цена: 11027 р.
Наличие на складе: Поставка под заказ.

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Автор: Fouque
Название: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
ISBN: 0521843588 ISBN-13(EAN): 9780521843584
Издательство: Cambridge Academ
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Цена: 10483 р.
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Описание: Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.

Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library), 3rd Edition Revised

Автор: Satyajit Das
Название: Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library), 3rd Edition Revised
ISBN: 0470821663 ISBN-13(EAN): 9780470821664
Издательство: Wiley
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Цена: 19965 р.
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Описание: Structured Products Volume 1 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivaves (such as asset swaps, structured notes and repackaged assets), exotic options, non-generic derivative structures used in interest rates and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products.

Stochastic Interest Rates

Автор: McInerney
Название: Stochastic Interest Rates
ISBN: 1107002575 ISBN-13(EAN): 9781107002579
Издательство: Cambridge Academ
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Цена: 11748 р.
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Описание: This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen examples to help students acquire the necessary skills to deal with interest rate modelling in a real-world setting. In addition, the book's webpage at www.cambridge.org/9781107002579 provides solutions to all of the exercises as well as the computer code (and associated spreadsheets) for all numerical work, which allows students to verify the results.

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

Автор: Kraft Holger
Название: Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
ISBN: 3540212302 ISBN-13(EAN): 9783540212300
Издательство: Springer
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Цена: 12918 р.
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Описание: The continuous-time portfolio problem consists of finding the optimal investment strategy of an investor. In the classical Merton problem the investor can allocate his funds to a riskless savings account and risky assets. However, to get explicit results, it is assumed that the interest rates are deterministic and that the assets are default free. In this monograph both assumptions are weakened: The author analyzes and solves portfolio problems with stochastic interest rates and with defaultable assets. Besides, he briefly discusses how portfolio problems with foreign assets can be handled. The focus of the monograph is twofold: On the one hand, the economical problems are carefully explained, on the other hand their formal solution is rigorously presented. For this reason the text should be of interest to researchers with a Finance background as well as to researchers with a more formal background who would like to see how mathematics is applied to portfolio theory.

Interest Rates, Prices and Liquidity

Автор: Chadha
Название: Interest Rates, Prices and Liquidity
ISBN: 1107480035 ISBN-13(EAN): 9781107480032
Издательство: Cambridge Academ
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Цена: 6145 р.
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Описание: Many of the assumptions that underpin mainstream macroeconomic models have been challenged as a result of the traumatic events of the recent financial crisis. Thus, until recently, it was widely agreed that although the stock of money had a role to play, in practice it could be ignored as long as we used short-term nominal interest rates as the instrument of policy because money and other credit markets would clear at the given policy rate. However, very early on in the financial crisis interest rates effectively hit zero percent and so central banks had to resort to a wholly new set of largely untested instruments to restore order, including quantitative easing and the purchase of toxic financial assets. This book brings together contributions from economists working in academia, financial markets and central banks to assess the effectiveness of these policy instruments and explore what lessons have so far been learned.

A geometric view of the term structure of interest rates

Автор: Bjork Thomas
Название: A geometric view of the term structure of interest rates
ISBN: 8876422412 ISBN-13(EAN): 9788876422416
Издательство: Springer
Цена: 2673 р.
Наличие на складе: Нет в наличии.

Описание: This set of lecture notes is the outcome of a lecture series, given in April 2000 by the author while holding the “Cattedra Galileiana” at Scuola Normale Superiore in Pisa. The purpose of the lectures was to give an overview of some recent work concerning structural properties of the evolution of the forward rate curve in an arbitrage free bond market.

Term Structure of Interest Rates: Expectations and Behavior Patterns

Автор: Malkiel Burton Gordon
Название: Term Structure of Interest Rates: Expectations and Behavior Patterns
ISBN: 0691623619 ISBN-13(EAN): 9780691623610
Издательство: Wiley
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Цена: 5445 р.
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Описание:

Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to twist the interest-rate structure in accordance with its policy objectives? These are among the questions treated.

Originally published in 1966.

The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These paperback editions preserve the original texts of these important books while presenting them in durable paperback editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905."

A History of Interest Rates, 4th Edition

Автор: Sidney Homer
Название: A History of Interest Rates, 4th Edition
ISBN: 0471732834 ISBN-13(EAN): 9780471732839
Издательство: Wiley
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Цена: 14520 р.
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Описание: "A History of Interest Rates" presents a very readable account of interest rate trends and lending practices over four millennia of economic history. Despite the paucity of data prior to the Industrial Revolution, authors Homer and Sylla provide a highly detailed analysis of money markets and borrowing practices in major economies. Underlying the analysis is their assertion that "the free market long-term rates of interest for any industrial nation, properly charted, provide a sort of fever chart of the economic and political health of that nation." Given the enormous volatility of rates in the 20th century, this implies we're living in age of political and economic excesses that are reflected in massive interest rate swings. Gain more insight into this assertion by ordering a copy of this book today.


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