Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensio From the reviews: "Term-Structure Models is a theoretical text suitable for a graduate students and practitioners Theoretical exercises are provided at the end of each chapter.

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Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensio From the reviews: "Term-Structure Models is a theoretical text suitable for a graduate students and practitioners Theoretical exercises are provided at the end of each chapter.

The writing is clear and to the point. I would recommend this book as a graduate level text on term-structure models, as well as a reference for anyone dealing with or interested in term-structure models. Alternatively researchers in the field of mathematical finance, who wish to have a rather short reference text, may find this book appealing. The author comes straight to the point, without confusing the reader with to much material that is not directly related to the development of the theory.

Each chapter also contains a significant number of well chosen exercises. 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 Continuous Compounding. Future Rates. Futures in a Gaussian Setup. Du kanske gillar. Spara som favorit. Skickas inom vardagar. Laddas ned direkt. 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 Ito calculus, basic probability theory, and real and complex analysis.

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## Term-Structure Models: A Graduate Course

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.

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## Term-Structure Models : A Graduate Course

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. 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.