Term-Structure Models
Author | : Damir Filipovic |
Publisher | : Springer |
Total Pages | : 256 |
Release | : 2010-05-03 |
ISBN-10 | : 354086010X |
ISBN-13 | : 9783540860105 |
Rating | : 4/5 (0X Downloads) |
Download or read book Term-Structure Models written by Damir Filipovic and published by Springer. This book was released on 2010-05-03 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.