rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Term-Structure Models
    sub title: A Graduate Course
  name:
    name part: Filipovic, Damir.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2009
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XII, 256 p. 29 illus. online resource.
  abstract: 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.
  table of contents: 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.
  note: by Damir Filipovic.
  subject:
    topic: Mathematics
  subject:
    topic: Applied mathematics
  subject:
    topic: Engineering mathematics
  subject:
    topic: Game theory
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Probabilities
  subject:
    topic: Mathematics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Applications of Mathematics
  subject:
    topic: Game Theory, Economics, Social and Behav. Sciences
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Springer Finance
  identifier: 9783540680154
  identifier: http://dx.doi.org/10.1007/978-3-540-68015-4
  record info:
    record creation date: 100301
    record change date: 20151030001029.0
    record identifier: 978-3-540-68015-4