This book provides an introduction to the mathematics of term structure models in continuous time. Topics include: practical matters 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-Mortonmethodology; consistent term structure parameterizations; affine processes and characteristic functions; LIBOR market models; and credit risk. The focus ison a mathematically straightforward but rigorous development of the theory. First graduate textbook that covers topics ranging from fixed-income market conventions, the estimation and statistics (PCA) of the yield curve, arbitrage theory, short-rate models, the Heath-Jarrow-Morton methodology, LIBOR market models, credit-risk All chapters end with a set of exercises, which provides the source for homework and exam questions INDICE: 1 Introduction.- 2 Interest Rates and Related Contracts.- 3 Statistics of the Yield Curve.- 4 Estimating the Yield Curve.- 5 Arbitrage Theory.- 6 Short Rate Models.- 7 HJM Methodology.- 8 Forward Measures.- 9 Forwards and Futures.- 10 Consistent Term Structure Parameterizations.- 11 Affine Processes.- 12 Market Models.- 13 Default Risk.
- ISBN: 978-3-540-09726-6
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 200
- Fecha Publicación: 01/10/2008
- Nº Volúmenes: 1
- Idioma: Inglés