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Term-Structure Models: A Graduate Course (Springer Finance)

Damir Filipović
4.9/5 (18974 ratings)
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Description: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 It calculus, basic probability theory, and real and complex analysis.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Term-Structure Models: A Graduate Course (Springer Finance). To get started finding Term-Structure Models: A Graduate Course (Springer Finance), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.
Pages
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PDF, EPUB & Kindle Edition
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Release
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ISBN
3540680152

Term-Structure Models: A Graduate Course (Springer Finance)

Damir Filipović
4.4/5 (1290744 ratings)
Read Now Download now ⏭ listen AudioBook
Description: 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 It calculus, basic probability theory, and real and complex analysis.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Term-Structure Models: A Graduate Course (Springer Finance). To get started finding Term-Structure Models: A Graduate Course (Springer Finance), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.
Pages
—
Format
PDF, EPUB & Kindle Edition
Publisher
—
Release
—
ISBN
3540680152

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