Sélectionnez la catégorie de News Maths-fi :

Les brèves Maths-fi du 03/07/2008.


An elementary introduction to stochastic interest rate modeling
by Nicolas Privault
(City University of Hong Kong, Hong Kong)

  • 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.
    More information about this book…


Inscription Mastère Spécialisé Filière Systèmes d'Information pour la Finance (MS SIF)

Plus que 10 jours !

Voir le calendrier des inscriptions aux Master Finance sur Maths-Fi…

A lire

  • Conjoncture Taux Change Juin-Juillet 2008 
    Eco Conjoncture Taux Change                                                                                                                                               Par la Direction des Etudes Economiques
    Date de parution : 20 juin 2008.
    Source :
    BNP Paribas-Corporate & Investment Banking
  • La prospective Cirad-Inra Agrimonde 
    Les premiers résultats de l'exercice de prospective lancé en 2006 par le Cirad et l'Inra et consistant à analyser les équilibres possibles des systèmes alimentaires et agricoles mondiaux à l'horizon 2050.
    Date de parution : mai 2008.
    Source : Inra & Cirad
  • The Global CFO Study 2008 Balancing Risk and Performance with an Integrated Finance Organization                                                                                                                                                                                           Par IBM GLOBAL BuSIneSS SeRvICeS in coorporation with The Wharton School and Economist intelligence Unit
    Date de parution : avril 2008
    Source :