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.
- DOI https://doi.org/10.1007/978-3-540-68015-4
- Copyright Information Springer-Verlag Berlin Heidelberg 2009
- Publisher Name Springer, Berlin, Heidelberg
- eBook Packages Mathematics and Statistics
- Print ISBN 978-3-540-09726-6
- Online ISBN 978-3-540-68015-4
- Buy this book on publisher's site