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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 Itô calculus, basic probability theory, and real and complex analysis.
Multiresolution Markov Models for Signal and Image Processing Автор: Wilsky A.S. Год: 2000 |
SAS for Linear Models Автор: Ramon C. Littell, Walter W. Stroup, Rudof J. Freund Год: 1994 |
Methods of Macroeconomic Dynamics - 2nd Edition Автор: Stephen J. Turnovsky Год: 1986 |
Handbook of Marketing Decision Models (International Series in Operations Research & Management Science) (International Series in Operations Research & Management Science) Автор: Tze Leung Lai, Haipeng Xing Год: 2008 |
Recent Advances in Linear Models and Related Areas: Essays in Honour of Helge Toutenburg Автор: Anselm Franke, Katerina Gregos, David Thorpe, Julian Rosefeldt Год: 2008 |
Inference in Hidden Markov Models Автор: Olivier Cappé Год: 2007 |