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Filipovic, Damir

Term-Structure Models

Filipovic, Damir - Term-Structure Models, ebook

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ISBN: 9783540680154
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Table of contents

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)
Publisher
Springer
Publication year
2009
Language
en
Edition
1
Series
Springer Finance
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783540680154

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