Term-Structure Models A Graduate Course /

• Main Author: Filipovic, Damir. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Springer Finance
• Subjects: Mathematics.; Finance.; Distribution (Probability theory).; Quantitative Finance.; Probability Theory and Stochastic Processes.; Applications of Mathematics.; Game Theory, Economics, Social and Behav. Sciences.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-540-68015-4

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:

• 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.