LIBERO WebOPAC Catalogue Display (W561)

Catalogue Information
Field name	Details
Dewey Class	519
Title	Term-Structure Models ([Ebook]) : A Graduate Course / by Damir Filipovic.
Author	Filipovic, Damir
Other name(s)	SpringerLink (Online service)
Publication	Berlin, Heidelberg : Springer , 2009.
Physical Details	XII, 256 pages : online resource.
Series	Springer finance
ISBN	9783540680154
Summary Note	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 ItÃ´ calculus, basic probability theory, and real and complex analysis.:
Contents note	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.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	http://dx.doi.org/10.1007/978-3-540-68015-4
Links to Related Works	Subject References: Applications of Mathematics . Distribution (Probability theory) . Finance . Game Theory, Economics, Social and Behav. Sciences . Mathematics . Probability theory and stochastic processes . Quantitative Finance . Authors: Filipovic, Damir . Corporate Authors: SpringerLink (Online service) . Series: Springer finance . Classification: 519 . 519 (DDC 23) .

Catalogue Display

Term-Structure Models: A Graduate Course

Reviews