Term-Structure Models 2024 pdf epub mobi 电子书

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发表于2024-11-07

Term-Structure Models 2024 pdf epub mobi 电子书

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出版者:Springer

作者:Damir Filipovic

出品人:

页数:272

译者:

出版时间:2009-8-14

价格:GBP 34.99

装帧:Hardcover

isbn号码:9783540097266

丛书系列:springer finance

图书标签: 金融金融工程 quant 利率金融学 quantitative fixed-income Finance

Term-Structure Models 2024 pdf epub mobi 电子书图书描述

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 ItA calculus, basic probability theory, and real and complex analysis.

Term-Structure Models 2024 pdf epub mobi 电子书

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