مدل مدت ساختار: دوره های تحصیلات تکمیلی Term-Structure Models: A Graduate Course
- نوع فایل : کتاب
- زبان : انگلیسی
- نویسنده : Damir Filipovic (auth.)
- ناشر : Springer-Verlag Berlin Heidelberg
- چاپ و سال / کشور: 2009
- شابک / ISBN : 3540097260, 9783540097266, 9783540680154
Description
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.
