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. Itincludes 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 amathematically 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.
- ISBN: 978-3-642-26915-8
- Editorial: Springer
- Encuadernacion: Rústica
- Fecha Publicación: 04/05/2012
- Nº Volúmenes: 1
- Idioma: Inglés