springer-verlag berlin and heidelberg gmbh & co. kg
Term-Structure Models
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- Lowest observed
- €62.69
- Highest observed
- €73.10
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| Price observed (Finnish time) | Price |
|---|---|
| €62.69 | |
| €73.10 | |
| €62.69 | |
| €73.10 | |
| €72.30 | |
| €72.30 |
Product details
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
- Brand
- springer-verlag berlin and heidelberg gmbh & co. kg
- EAN / GTIN
- 9783642269158