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Term-Structure Models

A Graduate Course
BuchGebunden
256 Seiten
Englisch
Springererschienen am14.08.2009
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. LIBOR market models;mehr
Verfügbare Formate
BuchGebunden
EUR42,75
BuchKartoniert, Paperback
EUR53,49
E-BookPDF1 - PDF WatermarkE-Book
EUR53,49

Produkt

KlappentextChanging 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. LIBOR market models;
Details
ISBN/GTIN978-3-540-09726-6
ProduktartBuch
EinbandartGebunden
Verlag
Erscheinungsjahr2009
Erscheinungsdatum14.08.2009
ReiheSpringer Finance Textbooks
Seiten256 Seiten
SpracheEnglisch
Gewicht520 g
IllustrationenXII, 256 p. 29 illus.
Artikel-Nr.10921492
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
Interest Rates and Related Contracts.- Estimating the Term-Structure.- Arbitrage Theory.- Short-Rate Models.- Heath-Jarrow-Morton (HJM) Methodology.- Forward Measures.- Forwards and Futures.- Consistent Term-Structure Parametrizations.- Affine Processes.- Market Models.- Default Risk.mehr
Kritik
mehr

Schlagworte

Autor

Damir Filipovic is head of the Vienna Institute of Finance, a research institution in the field of Mathematical Finance, funded by the Vienna Science and Technology Fund (WWTF), and founded and co-funded by the University of Vienna and the Vienna University of Economics and Business Administration. Prior to this position he held the Chair of Financial and Insurance Mathematics at the University of Munich, and he was Assistant Professor at Princeton University. Moreover, he worked for the Swiss Federal Office of Private Insurance, where he co-developed the Swiss Solvency Test (SST) - a risk based solvency assessment for insurance undertakings - which was enacted in 2006. He also held visiting positions at ETH Zurich, Columbia University, Stanford University, and the Vienna University of Technology.