Damir Filipovic
Term-Structure Models
- ISBN 13:
- 9783642269158
- author:
- Damir Filipovic
- format:
- Paperback
- publisher:
- Springer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
- language:
- English
- Publication Year:
- 2012
- Pages:
- 256
- Dimensions:
- 155 mm X 235 mm
- Genre:
- Business ; Economics
- Condition:
- New
- Availability:
- Item usually sent within 5 working days
Description
Term-Structure Models: A Graduate Course provides an introduction to the mathematics of term-structure models in continuous time. This comprehensive volume covers practical aspects for fixed-income markets, including day-count conventions, duration of coupon-paying bonds and yield curve construction.
It also delves into arbitrage theory, short-rate models, the Heath-Jarrow-Morton methodology, consistent term-structure parametrizations, affine diffusion processes and option pricing with Fourier transform, as well as LIBOR market models and credit risk. The focus is on a mathematically straightforward yet rigorous development of the theory.
With each chapter ending in a set of exercises, this book is ideal for students, researchers and practitioners looking to develop their knowledge of term-structure models. Familiarity with elementary Itô calculus, basic probability theory, and real and complex analysis is assumed.
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