Filipovic, Damir
Term-Structure Models
1. Introduction
Damir Filipović
2. Interest Rates and Related Contracts
Damir Filipović
3. Estimating the Term-Structure
Damir Filipović
4. Arbitrage Theory
Damir Filipović
5. Short-Rate Models
Damir Filipović
6. Heath–Jarrow–Morton (HJM) Methodology
Damir Filipović
7. Forward Measures
Damir Filipović
8. Forwards and Futures
Damir Filipović
9. Consistent Term-Structure Parametrizations
Damir Filipović
10. Affine Processes
Damir Filipović
11. Market Models
Damir Filipović
12. Default Risk
Damir Filipović
Keywords: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes, Applications of Mathematics, Game Theory, Economics, Social and Behav. Sciences
- Author(s)
- Filipovic, Damir
- Publisher
- Springer
- Publication year
- 2009
- Language
- en
- Edition
- 1
- Series
- Springer Finance
- Page amount
- 12 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783540680154