Term-Structure Models

A Graduate Course

  • Damir Filipovic

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Damir Filipović
    Pages 1-3
  3. Damir Filipović
    Pages 5-28
  4. Damir Filipović
    Pages 29-57
  5. Damir Filipović
    Pages 59-77
  6. Damir Filipović
    Pages 79-92
  7. Damir Filipović
    Pages 93-103
  8. Damir Filipović
    Pages 105-116
  9. Damir Filipović
    Pages 117-122
  10. Damir Filipović
    Pages 123-141
  11. Damir Filipović
    Pages 143-195
  12. Damir Filipović
    Pages 197-223
  13. Damir Filipović
    Pages 225-243
  14. Back Matter
    Pages 245-256

About this book


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.


Black-Scholes Cox-Ingersoll-Ross model JEL Martingale Probability theory affine process arbitrage theory calculus credit risk diffusion process financial engineering interest rates statistics term-structure model

Authors and affiliations

  • Damir Filipovic
    • 1
  1. 1.Fédérale de Lausanne, Swiss Finance InstituteEcole PolytechniqueLausanneSwitzerland

Bibliographic information

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