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03100nam a22005295i 4500 |
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|a 9783540680154
|9 978-3-540-68015-4
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|a 10.1007/978-3-540-68015-4
|2 doi
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|d GrThAP
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|a HB135-147
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|a 519
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|a Filipovic, Damir.
|e author.
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|a Term-Structure Models
|h [electronic resource] :
|b A Graduate Course /
|c by Damir Filipovic.
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|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg,
|c 2009.
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|a XII, 256 p. 29 illus.
|b online resource.
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|a text
|b txt
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|a computer
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|a text file
|b PDF
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|a Springer Finance
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|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.
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|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.
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|a Mathematics.
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|a Applied mathematics.
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|a Engineering mathematics.
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|a Game theory.
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|a Economics, Mathematical.
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|a Probabilities.
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|a Mathematics.
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|a Quantitative Finance.
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|a Probability Theory and Stochastic Processes.
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|a Applications of Mathematics.
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|a Game Theory, Economics, Social and Behav. Sciences.
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9783540097266
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|a Springer Finance
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|u http://dx.doi.org/10.1007/978-3-540-68015-4
|z Full Text via HEAL-Link
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|a ZDB-2-SMA
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|a Mathematics and Statistics (Springer-11649)
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