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.
發表於2024-11-26
Term-Structure Models 2024 pdf epub mobi 電子書 下載
圖書標籤: 金融 金融工程 quant 利率 金融學 quantitative fixed-income Finance
Fixed Income的新標準
評分講講作者,我們教授。70後,已婚,真高富帥,蘇黎世聯邦理工數學博士(膜拜五體投地),瑞士壽險董事局成員,partner.
評分講講作者,我們教授。70後,已婚,真高富帥,蘇黎世聯邦理工數學博士(膜拜五體投地),瑞士壽險董事局成員,partner.
評分講講作者,我們教授。70後,已婚,真高富帥,蘇黎世聯邦理工數學博士(膜拜五體投地),瑞士壽險董事局成員,partner.
評分講講作者,我們教授。70後,已婚,真高富帥,蘇黎世聯邦理工數學博士(膜拜五體投地),瑞士壽險董事局成員,partner.
Term-Structure Models 2024 pdf epub mobi 電子書 下載