- Springer Berlin Heidelberg
- 2009
- Gebunden
- 272 Seiten
- ISBN 9783540097266
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
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