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Term-Structure Models A Graduate Course /
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuou...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2009.
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| Edición: | 1st ed. 2009. |
| Colección: | Springer Finance Textbooks,
|
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 245 | 1 | 0 | |a Term-Structure Models |h [electronic resource] : |b A Graduate Course / |c by Damir Filipovic. |
| 250 | |a 1st ed. 2009. | ||
| 264 | 1 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg : |b Imprint: Springer, |c 2009. | |
| 300 | |a XII, 256 p. 29 illus. |b online resource. | ||
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| 490 | 1 | |a Springer Finance Textbooks, |x 2945-9125 | |
| 505 | 0 | |a Interest Rates and Related Contracts -- Estimating the Term-Structure -- Arbitrage Theory -- Short-Rate Models -- Heath-Jarrow-Morton (HJM) Methodology -- Forward Measures -- Forwards and Futures -- Consistent Term-Structure Parametrizations -- Affine Processes -- Market Models -- Default Risk. | |
| 520 | |a Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis. | ||
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Mathematics. | |
| 650 | 0 | |a Game theory. | |
| 650 | 1 | 4 | |a Mathematics in Business, Economics and Finance. |
| 650 | 2 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Applications of Mathematics. |
| 650 | 2 | 4 | |a Game Theory. |
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| 776 | 0 | 8 | |i Printed edition: |z 9783540860105 |
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| 830 | 0 | |a Springer Finance Textbooks, |x 2945-9125 | |
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