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...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Livre numérique |
| Sprache: | Anglais |
| Veröffentlicht: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Ausgabe: | 1st ed. 2009. |
| Schriftenreihe: | Springer Finance Textbooks
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| Online Zugang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Anmerkung: |
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 |
Inhaltsangabe:
- 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