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100301s2009 gw | s |||| 0|eng d |
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|a 9783540680154
|9 978-3-540-68015-4
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|a 10.1007/978-3-540-68015-4
|2 doi
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|a HB135-147
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|a KF
|2 bicssc
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|a MAT003000
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|a BUS027000
|2 bisacsh
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|a 519
|2 23
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|a Filipovic, Damir.
|e author.
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| 245 |
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|a Term-Structure Models
|b A Graduate Course /
|c by Damir Filipovic.
|h [electronic resource] :
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| 264 |
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1 |
|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg,
|c 2009.
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| 300 |
# |
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|a XII, 256p.
|b online resource.
|
| 336 |
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|a text
|b txt
|2 rdacontent
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 347 |
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|a text file
|b PDF
|2 rda
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| 490 |
1 |
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|a Springer Finance
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|a 1 Introduction -- 2 Interest Rates and Related Contracts -- 3 Statistics of the Yield Curve -- 4 Estimating the Yield Curve -- 5 Arbitrage Theory -- 6 Short Rate Models -- 7 HJM Methodology -- 8 Forward Measures -- 9 Forwards and Futures -- 10 Consistent Term Structure Parameterizations -- 11 Affine Processes -- 12 Market Models -- 13 Default Risk.
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| 520 |
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|a 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.
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|a Mathematics.
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| 650 |
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|a Finance.
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| 650 |
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|a Distribution (Probability theory).
|
| 650 |
1 |
4 |
|a Mathematics.
|
| 650 |
2 |
4 |
|a Quantitative Finance.
|
| 650 |
2 |
4 |
|a Probability Theory and Stochastic Processes.
|
| 650 |
2 |
4 |
|a Applications of Mathematics.
|
| 650 |
2 |
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|a Game Theory, Economics, Social and Behav. Sciences.
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| 710 |
2 |
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|a SpringerLink (Online service)
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| 773 |
0 |
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|t Springer eBooks
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| 776 |
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8 |
|i Printed edition:
|z 9783540097266
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| 830 |
# |
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|a Springer Finance
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| 856 |
4 |
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|u https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-540-68015-4
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| 912 |
# |
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|a ZDB-2-SMA
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| 950 |
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|a Mathematics and Statistics (Springer-11649)
|