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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Filipovic, Damir (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2009.
Edición:1st ed. 2009.
Colección:Springer Finance Textbooks,
Temas:
Social sciences-Mathematics.
Probabilities.
Mathematics.
Game theory.
Mathematics in Business, Economics and Finance.
Probability Theory.
Applications of Mathematics.
Game Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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