Download ebook Term-structure Models : A Graduate Course
Download ebook Term-structure Models : A Graduate Course
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Author: Damir Filipovic
Page Count: 256 pages
Published Date: 14 Aug 2009
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Publication Country: Berlin, Germany
Language: English
ISBN: 9783540097266
File size: 15 Mb
File Name: Term-structure.Models.A.Graduate.Course.pdf
Download Link: Term-structure Models A Graduate Course
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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 Ito calculus, basic probability theory, and real and complex analysis.
Read online Term-structure Models : A Graduate Course Buy and read online Term-structure Models : A Graduate Course Download Term-structure Models : A Graduate Course for pc, mac, kindle, readers Download to iPad/iPhone/iOS, B&N nook Term-structure Models : A Graduate Course
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Term-structure Models : A Graduate Course by Damir Filipovic
Author: Damir Filipovic
Page Count: 256 pages
Published Date: 14 Aug 2009
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Publication Country: Berlin, Germany
Language: English
ISBN: 9783540097266
File size: 15 Mb
File Name: Term-structure.Models.A.Graduate.Course.pdf
Download Link: Term-structure Models A Graduate Course
---------------------------------------------------------------
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 Ito calculus, basic probability theory, and real and complex analysis.
Read online Term-structure Models : A Graduate Course Buy and read online Term-structure Models : A Graduate Course Download Term-structure Models : A Graduate Course for pc, mac, kindle, readers Download to iPad/iPhone/iOS, B&N nook Term-structure Models : A Graduate Course
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