(英文Handout ,可编辑的pdf电子文档)
Textbook:An Elementary Introduction To Stochastic Interest Rate Modeling, 2nd Edition
Author(s): Nicolas Privault
Advanced Series on Statistical Science & Applied Probability Vol 16
Course Description:
Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This course 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 coursebook suitable for advanced undergraduate and graduate level students.
It contains 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.