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Term-Structure Models: A Graduate Course by Damir Filipovic (Paperback, 2012)

About this product

About this product

Product Information

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.

Product Identifiers

Publisher
Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
ISBN-13
9783642269158
eBay Product ID (ePID)
116049228

Product Key Features

Author
Damir Filipovic
Publication Name
Term-Structure Models: a Graduate Course
Format
Paperback
Language
English
Subject
Accounting, Mathematics
Publication Year
2012
Type
Textbook
Number of Pages
256 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Item Weight
415g

Additional Product Features

Title_Author
Damir Filipovic
Series Title
Springer Finance
Country/Region of Manufacture
Germany

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