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＜電子ブック＞
Term-Structure Models : A Graduate Course / by Damir Filipovic
(Springer Finance Textbooks. ISSN:29459125)

版	1st ed. 2009.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2009
本文言語	英語
大きさ	XII, 256 p. 29 illus : online resource
著者標目	*Filipovic, Damir author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Probabilities LCSH:Mathematics LCSH:Game theory FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory FREE:Applications of Mathematics FREE:Game Theory
一般注記	Interest Rates and Related Contracts -- Estimating the Term-Structure -- Arbitrage Theory -- Short-Rate Models -- Heath–Jarrow–Morton (HJM) Methodology -- Forward Measures -- Forwards and Futures -- Consistent Term-Structure Parametrizations -- Affine Processes -- Market Models -- Default Risk 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 HTTP:URL=https://doi.org/10.1007/978-3-540-68015-4

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