Term-Structure Models 1st edition 9783540680154
Product Edition:1st edition
Author: Damir Filipovic
Book Name: Term-Structure Models
Subject Name: Engineering

Term-Structure Models 1st edition Solutions

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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 constructionarbitrage theoryshort-rate modelsthe Heath-Jarrow-Morton methodologyconsistent term-structure parametrizationsaffine diffusion processes and option pricing with Fourier transformLIBOR market modelsand 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 It� calculus basic probability theory and real and complex analysis.Read more

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