ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN (2ND EDITION) (Advanced Statistical Science and Applied Probability)

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.

Readership: Advanced undergraduates and graduate students in finance and actuarial science; practitioners involved in quantitative analysis of interest rate models.