Modeling the Term Structure of Interest Rates
Title | Modeling the Term Structure of Interest Rates PDF eBook |
Author | Rajna Gibson |
Publisher | Now Publishers Inc |
Pages | 171 |
Release | 2010 |
Genre | Business & Economics |
ISBN | 1601983727 |
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Term-Structure Models
Title | Term-Structure Models PDF eBook |
Author | Damir Filipovic |
Publisher | Springer Science & Business Media |
Pages | 259 |
Release | 2009-07-28 |
Genre | Mathematics |
ISBN | 3540680152 |
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.
Interest Rate, Term Structure, and Valuation Modeling
Title | Interest Rate, Term Structure, and Valuation Modeling PDF eBook |
Author | Frank J. Fabozzi |
Publisher | John Wiley & Sons |
Pages | 530 |
Release | 2002-11-29 |
Genre | Business & Economics |
ISBN | 047144698X |
This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
One-factor models of the term structure of interest rates
Title | One-factor models of the term structure of interest rates PDF eBook |
Author | |
Publisher | |
Pages | 0 |
Release | 2004 |
Genre | |
ISBN |
The Term Structure of Interest Rates
Title | The Term Structure of Interest Rates PDF eBook |
Author | R. S. Masera |
Publisher | |
Pages | 232 |
Release | 1972 |
Genre | Business & Economics |
ISBN |
The Term Structure of Interest Rates
Title | The Term Structure of Interest Rates PDF eBook |
Author | David Meiselman |
Publisher | |
Pages | 96 |
Release | 1962 |
Genre | Business & Economics |
ISBN |
Some Models of the Term Structure of Interest Rates
Title | Some Models of the Term Structure of Interest Rates PDF eBook |
Author | Robert Sterling Goldstein |
Publisher | |
Pages | 194 |
Release | 1996 |
Genre | |
ISBN |