UPC: 9783642269158 | Term-Structure Models : A Graduate Course (Paperback)

UPC lookup results for: 9783642269158 | Term-Structure Models : A Graduate Course (Paperback)

This graduate textbook provides an introduction to the mathematics of term structure models in continuous time. The focus is on a mathematically straightforward but rigorous development of the theory. 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 Itô calculus basic probability theory and real and complex analysis.