图书标签: 金融 金融工程 quant 利率 金融学 quantitative fixed-income Finance
发表于2024-12-24
Term-Structure Models pdf epub mobi txt 电子书 下载 2024
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 ItA calculus, basic probability theory, and real and complex analysis.
Fixed Income的新标准
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评分Fixed Income的新标准
评分Fixed Income的新标准
评分Fixed Income的新标准
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Term-Structure Models pdf epub mobi txt 电子书 下载 2024