| 書(shū)目名稱(chēng) | Term-Structure Models | | 副標(biāo)題 | A Graduate Course | | 編輯 | Damir Filipovic | | 視頻video | http://file.papertrans.cn/904/903148/903148.mp4 | | 概述 | First graduate textbook that covers topics ranging from fixed-income market conventions, the estimation and statistics (PCA) of the yield curve, arbitrage theory, short-rate models, the Heath-Jarrow-M | | 叢書(shū)名稱(chēng) | Springer Finance | | 圖書(shū)封面 |  | | 描述 | .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 It? calculus, basic probability theory, and real and complex analysis.. | | 出版日期 | Textbook 2009 | | 關(guān)鍵詞 | Black-Scholes; Cox-Ingersoll-Ross model; JEL; Martingale; Probability theory; affine process; arbitrage th | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-540-68015-4 | | isbn_softcover | 978-3-642-26915-8 | | isbn_ebook | 978-3-540-68015-4Series ISSN 1616-0533 Series E-ISSN 2195-0687 | | issn_series | 1616-0533 | | copyright | Springer-Verlag Berlin Heidelberg 2009 |
The information of publication is updating
|
|
|Archiver|手機(jī)版|小黑屋|
派博傳思國(guó)際
( 京公網(wǎng)安備110108008328)
GMT+8, 2025-10-7 20:56
發(fā)表于 2025-3-21 18:13:22
