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 continuou...
Αποθηκεύτηκε σε:
| Κύριος συγγραφέας: | |
|---|---|
| Μορφή: | Livre numérique |
| Γλώσσα: | Anglais |
| Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Έκδοση: | 1st ed. 2009. |
| Σειρά: | Springer Finance Textbooks
|
| Διαθέσιμο Online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Σημείωση: |
Description d'après consultation du 26 mars 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Term-Structure Models, Texte imprimé, 9783540097266 • Term-Structure Models, Texte imprimé, 9783540860105 • Term-structure models, a graduate course, Damir Filipović, 2009, Dordrecht, Springer, 1 vol. (XII-256 p.), Springer finance, 978-3-540-09726-6 |
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| 020 | |a 9783540680154 | ||
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| 082 | |a 519 | ||
| 084 | |a 60H05. 2000 | ||
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| 100 | 1 | |a Filipović, Damir, |d 1970- | |
| 245 | 1 | 0 | |a Term-structure models : |b a graduate course |c by Damir Filipovic. |
| 250 | |a 1st ed. 2009. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Springer Finance Textbooks |x 2945-9125 | |
| 500 | |a Description d'après consultation du 26 mars 2012 | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. Index | ||
| 505 | 1 | |a Interest Rates and Related Contracts Estimating the Term-Structure Arbitrage Theory Short-Rate Models Heath Jarrow Morton (HJM) Methodology Forward Measures Forwards and Futures Consistent Term-Structure Parametrizations Affine Processes Market Models Default Risk | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |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 Itô calculus, basic probability theory, and real and complex analysis | ||
| 776 | 0 | |t Term-Structure Models |b Texte imprimé |z 9783540097266 | |
| 776 | 0 | |t Term-Structure Models |b Texte imprimé |z 9783540860105 | |
| 776 | 0 | |0 188331336 |t Term-structure models |o a graduate course |f Damir Filipović |d 2009 |c Dordrecht |n Springer |p 1 vol. (XII-256 p.) |s Springer finance |z 978-3-540-09726-6 | |
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