Term-Structure Models - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Term-Structure Models write by Damir Filipovic. This book was released on 2009-07-28. Term-Structure Models available in PDF, EPUB and Kindle. 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.
Modeling the Term Structure of Interest Rates
Modeling the Term Structure of Interest Rates - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Modeling the Term Structure of Interest Rates write by Rajna Gibson. This book was released on 2010. Modeling the Term Structure of Interest Rates available in PDF, EPUB and Kindle. Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective write by René Carmona. This book was released on 2007-05-22. Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective available in PDF, EPUB and Kindle. This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
The Term Structure of Interest Rates
The Term Structure of Interest Rates - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Term Structure of Interest Rates write by David Meiselman. This book was released on 1962. The Term Structure of Interest Rates available in PDF, EPUB and Kindle.
Interest Rate Modeling
Interest Rate Modeling - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Interest Rate Modeling write by Leif B. G. Andersen. This book was released on 2010. Interest Rate Modeling available in PDF, EPUB and Kindle. "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.
