Term Structure Models is popular PDF and ePub book, written by Damir Filipovic in 2009-07-28, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Term Structure Models can be Read Online from any device for your convenience.
Term Structure Models Book PDF Summary
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 calculus, basic probability theory, and real and complex analysis.
Detail Book of Term Structure Models PDF
- Author : Damir Filipovic
- Release : 28 July 2009
- Publisher : Springer Science & Business Media
- ISBN : 9783540680154
- Genre : Mathematics
- Total Page : 259 pages
- Language : English
- PDF File Size : 13,5 Mb
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