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 Ito calculus,
basic probability theory, and real and complex analysis."
General
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