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...

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.