標(biāo)題: Titlebook: Analytical Finance: Volume II; The Mathematics of I Jan R. M. R?man Book 2017 The Editor(s) (if applicable) and The Author(s) 2017 Financia [打印本頁(yè)] 作者: broach 時(shí)間: 2025-3-21 16:15
書目名稱Analytical Finance: Volume II影響因子(影響力)
作者: 聯(lián)想記憶 時(shí)間: 2025-3-21 23:49
Interest Rate,of the continuous compounding rate and a bond trader of yield-to-maturity (YTM). We will briefly 0name some of the rates and give a short description. Some of these rates will be discussed in detail in later sections.作者: erythema 時(shí)間: 2025-3-22 01:01
Interest Rate Instruments,ants is far out of the scope in this book, if possible at all. Some of these instruments are referred as Fixed Income instruments. The name refer to the fact that all income, that is, all cash flows, are known prior to the actual trade. Bonds are typical fixed income instruments since the coupon rate and the nominal amount are known.作者: 浸軟 時(shí)間: 2025-3-22 04:37 作者: 節(jié)省 時(shí)間: 2025-3-22 09:57
Allgemeine OptimierungsmethodenWe will now take a look at the . and different kind of spreads. We explain some of the details using the Swedish market (as Riksbanken, the Central bank in Sweden).作者: 琺瑯 時(shí)間: 2025-3-22 14:37
vieweg studium; Aufbaukurs MathematikIn this section we present some traditional risk measures based on the present value formula used in the markets for the quoting of prices and yields to maturity (.). These measures are calculated by trading software in order to at least partially manage the risk in instruments and portfolios.作者: 減震 時(shí)間: 2025-3-22 20:36
vieweg studium; Aufbaukurs MathematikWe will now give a short introduction of how to measure risk and how to define limits on risks for a portfolio with many different instruments. Such limits are used by financial institutions to control and minimize risks. There have been more and more focus on risk management, especially after the financial crises in 2007–2008.作者: 注視 時(shí)間: 2025-3-22 22:29 作者: BOON 時(shí)間: 2025-3-23 04:30
Ganze Zahlen, Teiler und Primzahlen,We will now consider the problem where we will model price processes on an arbitrage-free market of zero coupon bonds. On this market we will model the short rate, .(.) under the real probability measure ..作者: Indebted 時(shí)間: 2025-3-23 07:59
László Lovász,József Pelikán,Sabine GieseFrom now on, we will consider the filtrated probability space . as given where . is a .-Wiener process on ..作者: 時(shí)代 時(shí)間: 2025-3-23 13:05
László Lovász,József Pelikán,Sabine GieseAs we have seen the price of a zero coupon bond at . and time to maturity . is given by作者: Endemic 時(shí)間: 2025-3-23 16:24
https://doi.org/10.1007/3-540-27553-3Let us again study an interest rate model where the .-dynamics of the short rate of interest are given by作者: TATE 時(shí)間: 2025-3-23 18:23 作者: Working-Memory 時(shí)間: 2025-3-23 22:37 作者: 商議 時(shí)間: 2025-3-24 06:16 作者: concubine 時(shí)間: 2025-3-24 08:59
The Interbank Market,We will now take a look at the . and different kind of spreads. We explain some of the details using the Swedish market (as Riksbanken, the Central bank in Sweden).作者: SPASM 時(shí)間: 2025-3-24 11:36 作者: LARK 時(shí)間: 2025-3-24 16:18 作者: 呼吸 時(shí)間: 2025-3-24 22:30 作者: SCORE 時(shí)間: 2025-3-25 00:37
Term Structures,We will now consider the problem where we will model price processes on an arbitrage-free market of zero coupon bonds. On this market we will model the short rate, .(.) under the real probability measure ..作者: Eructation 時(shí)間: 2025-3-25 07:18 作者: 小卷發(fā) 時(shí)間: 2025-3-25 08:36
Pricing of Bonds,As we have seen the price of a zero coupon bond at . and time to maturity . is given by作者: 輕觸 時(shí)間: 2025-3-25 13:11 作者: 上流社會(huì) 時(shí)間: 2025-3-25 18:53
Heath-Jarrow-Morton,Up to this point we have studied interest models where the short-rate . is the only explanatory variable. The main advantages with such models are as follows.作者: Gobble 時(shí)間: 2025-3-25 20:37 作者: 反感 時(shí)間: 2025-3-26 04:01 作者: V切開(kāi) 時(shí)間: 2025-3-26 05:24
Jan R. M. R?manProvides a comprehensive introduction to financial instruments in the interest rate markets.Includes coverage of standard and exotic instruments.Explains how pricing has changed since the financial cr作者: 歌劇等 時(shí)間: 2025-3-26 10:03 作者: CLOT 時(shí)間: 2025-3-26 15:45 作者: 專心 時(shí)間: 2025-3-26 18:34
vieweg studium; Aufbaukurs Mathematikof the continuous compounding rate and a bond trader of yield-to-maturity (YTM). We will briefly 0name some of the rates and give a short description. Some of these rates will be discussed in detail in later sections.作者: Mast-Cell 時(shí)間: 2025-3-26 21:57 作者: 史前 時(shí)間: 2025-3-27 04:28 作者: 冷淡周邊 時(shí)間: 2025-3-27 05:53 作者: crutch 時(shí)間: 2025-3-27 11:33
vieweg studium; Aufbaukurs Mathematikof the continuous compounding rate and a bond trader of yield-to-maturity (YTM). We will briefly 0name some of the rates and give a short description. Some of these rates will be discussed in detail in later sections.作者: Fulminate 時(shí)間: 2025-3-27 17:06
https://doi.org/10.1007/978-3-322-92838-2nt topic. The risk-free interest rate are used to discount projected or expected cash-flows to a present value. But, what rate should be used? A short answer should be that this depends on what instrument to value, the counterparty and the agreements made. A better answer might be that the rate shou作者: 誓言 時(shí)間: 2025-3-27 20:14
vieweg studium; Aufbaukurs Mathematikants is far out of the scope in this book, if possible at all. Some of these instruments are referred as Fixed Income instruments. The name refer to the fact that all income, that is, all cash flows, are known prior to the actual trade. Bonds are typical fixed income instruments since the coupon rat作者: 破譯 時(shí)間: 2025-3-28 00:21
https://doi.org/10.1007/978-3-662-59663-0a graph with time to maturity on the horizontal axis and yields on the vertical axis. The group is usually defined as bonds by the same issuer and/or the same credit rating. Thus, we speak of yield curves for government bonds, for mortgage bonds or for corporate bonds of the same credit rating. The 作者: Anthem 時(shí)間: 2025-3-28 04:15 作者: FANG 時(shí)間: 2025-3-28 09:11
vieweg studium; Aufbaukurs Mathematikce risk, are estimated and the model can be used to predict prices for securities in the market. There is no guarantee that the model will price any security at its observed market price. In the relative pricing framework, some observed market prices are used as a starting point, and then other secu作者: 劇毒 時(shí)間: 2025-3-28 10:36
,Kapitel 16L?sungen der übungsaufgaben,ures, so-called forward measures, including . as a member of that class. These probability measures are connected to a technique called .. They are of great importance both in the understanding and for practical calculations since the amount of computational work needed in order to obtain a pricing 作者: 行乞 時(shí)間: 2025-3-28 16:59 作者: 盡忠 時(shí)間: 2025-3-28 20:08
978-3-319-52583-9The Editor(s) (if applicable) and The Author(s) 2017作者: Jocose 時(shí)間: 2025-3-29 00:18
https://doi.org/10.1007/978-3-662-59663-0can be ordered by maturity and credit class. Thus, we get London inter-bank offered rate (LIBOR) or XIBOR yield curves or yield curves for domestic deposits in any currency. There are many different yield curves.作者: ENACT 時(shí)間: 2025-3-29 05:47
Yield Curves,can be ordered by maturity and credit class. Thus, we get London inter-bank offered rate (LIBOR) or XIBOR yield curves or yield curves for domestic deposits in any currency. There are many different yield curves.作者: 痛得哭了 時(shí)間: 2025-3-29 10:21
Book 2017oped from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at M?lardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining 作者: Palatial 時(shí)間: 2025-3-29 14:53
Market Interest Rates and quotes,ld be chosen to reflect the funding cost of buying the instrument. In this section we will discuss how the market situations in the near future have changed the view about the risk-free interest rate.作者: 鴿子 時(shí)間: 2025-3-29 19:33
https://doi.org/10.1007/978-3-322-92838-2ld be chosen to reflect the funding cost of buying the instrument. In this section we will discuss how the market situations in the near future have changed the view about the risk-free interest rate.作者: Irascible 時(shí)間: 2025-3-29 21:38
ents.Explains how pricing has changed since the financial cr.Analytical Finance. is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling 作者: 嚴(yán)峻考驗(yàn) 時(shí)間: 2025-3-30 03:26 作者: PRE 時(shí)間: 2025-3-30 06:39 作者: 無(wú)動(dòng)于衷 時(shí)間: 2025-3-30 09:29
Bootstrapping Yield Curves,w how to use the derived zero-coupon yields to discount future cash flows. Finally, we will use some real market data, such as bonds, deposits, forward rate agreements (FRAs) and swaps in the bootstrap procedure.作者: 避開(kāi) 時(shí)間: 2025-3-30 14:50
,A new Measure – The Forward Measure, great importance both in the understanding and for practical calculations since the amount of computational work needed in order to obtain a pricing formula can be drastically reduced by a suitable choice of numeraire. Especially the forward measures simplify the calculations of prices on bond options.作者: concise 時(shí)間: 2025-3-30 18:00
stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR.? Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension.? The Heath-Jarrow978-3-319-52583-9978-3-319-52584-6作者: 荒唐 時(shí)間: 2025-3-30 22:10 作者: Exploit 時(shí)間: 2025-3-31 01:13 作者: 聯(lián)想 時(shí)間: 2025-3-31 06:00
Interest Rate,of the continuous compounding rate and a bond trader of yield-to-maturity (YTM). We will briefly 0name some of the rates and give a short description. Some of these rates will be discussed in detail in later sections.
