Term-Structure Models A Graduate Course

Auteur: Damir Filipovic
Taal: Engels
Term-Structure Models
Auteur: Damir Filipovic
Uitgever: Springer
  • Engels
  • Paperback
  • 9783642269158
  • Druk: Previously published in hardcover
  • april 2012
  • 256 pagina's
Alle productspecificaties

Samenvatting

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.

Recensie(s)

From the reviews: Term-Structure Models is a theoretical text suitable for a graduate students and practitioners ... . Theoretical exercises are provided at the end of each chapter. ... written in a theorem-proof style; it is structured very well. The writing is clear and to the point. I would recommend this book as a graduate level text on term-structure models, as well as a reference for anyone dealing with or interested in term-structure models. (Ita Cirovic Donev, The Mathematical Association of America, February, 2010) This text by one of the leading authorities on term-structure and interest-rate models is useful for one semester graduate or advanced honors courses. Alternatively researchers in the field of mathematical finance, who wish to have a rather short reference text, may find this book appealing. The author comes straight to the point, without confusing the reader with to much material that is not directly related to the development of the theory. ... Each chapter also contains a significant number of well chosen exercises. (Christian-Oliver Ewald, Zentralblatt MATH, Vol. 1184, 2010)

Productspecificaties

Inhoud

Taal
Engels
Bindwijze
Paperback
Druk
Previously published in hardcover
Verschijningsdatum
2012-04-06
Aantal pagina's
256 pagina's
Illustraties
Nee

Betrokkenen

Auteur
Damir Filipovic
Uitgever
Springer

EAN

EAN
9783642269158

Overige kenmerken

Extra groot lettertype
Nee
NUR code
780
Oorspronkelijke releasedatum
2012-04-06
Subtitel
A Graduate Course
Thema Subject Code
KF

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