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Term-Structure Models - A Graduate Course (Hardcover, 2009 ed.) Loot Price: R2,399
Discovery Miles 23 990
Term-Structure Models - A Graduate Course (Hardcover, 2009 ed.): Damir Filipovic

Term-Structure Models - A Graduate Course (Hardcover, 2009 ed.)

Damir Filipovic

Series: Springer Finance

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Loot Price R2,399 Discovery Miles 23 990 | Repayment Terms: R225 pm x 12*

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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

Imprint: Springer-Verlag
Country of origin: Germany
Series: Springer Finance
Release date: August 2009
First published: 2008
Authors: Damir Filipovic
Dimensions: 235 x 155 x 17mm (L x W x T)
Format: Hardcover
Pages: 256
Edition: 2009 ed.
ISBN-13: 978-3-540-09726-6
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Business & Economics > Finance & accounting > Finance > General
Books > Science & Mathematics > Mathematics > Applied mathematics > General
Books > Money & Finance > General
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LSN: 3-540-09726-0
Barcode: 9783540097266

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