Filipovic, Damir
Term-Structure Models
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
Avainsanat: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes, Applications of Mathematics, Game Theory, Economics, Social and Behav. Sciences
- Tekijä(t)
- Filipovic, Damir
- Julkaisija
- Springer
- Julkaisuvuosi
- 2009
- Kieli
- en
- Painos
- 1
- Sarja
- Springer Finance
- Sivumäärä
- 12 sivua
- Kategoria
- Eksaktit luonnontieteet
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9783540680154
