Term-Structure Models A Graduate Course /

• Main Author: Filipovic, Damir (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Springer Finance
• Subjects: Mathematics.; Applied mathematics.; Engineering mathematics.; Game theory.; Economics, Mathematical.; Probabilities.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Applications of Mathematics.; Game Theory, Economics, Social and Behav. Sciences.

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...