scientific article

zbMath1248.91002MaRDI QIDQ2891963

Nicolas Privault

Publication date: 18 June 2012

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814390866/toc.shtml

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Brownian motionstochastic integrationGirsanov theoremswaptionszero-coupon bondscredit default modelforward measure and derivative pricingforward rate modelingshort term interest rate models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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Elementary price indices under the GBM price model ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate

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