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Modeling the Term Structure of Interest Rates

2010 Business & Economics
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Release : 2010
Genre : Business & Economics
Kind : eBook
Book Rating : 727/5 ( reviews)

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Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson

Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Term-Structure Models

2009-07-28 Mathematics
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Release : 2009-07-28
Genre : Mathematics
Kind : eBook
Book Rating : 152/5 ( reviews)

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Book Synopsis Term-Structure Models by : Damir Filipovic

Download or read book Term-Structure Models written by Damir Filipovic. This book was released on 2009-07-28. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Term Structure of Interest Rates

1962 Business & Economics
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Release : 1962
Genre : Business & Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis The Term Structure of Interest Rates by : David Meiselman

Download or read book The Term Structure of Interest Rates written by David Meiselman. This book was released on 1962. Available in PDF, EPUB and Kindle. Book excerpt:

The Behavior of Interest Rates

1966 Business & Economics
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Release : 1966
Genre : Business & Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis The Behavior of Interest Rates by : Joseph W. Conard

Download or read book The Behavior of Interest Rates written by Joseph W. Conard. This book was released on 1966. Available in PDF, EPUB and Kindle. Book excerpt:

Term Structure of Interest Rates

2015-12-08 Business & Economics
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Release : 2015-12-08
Genre : Business & Economics
Kind : eBook
Book Rating : 787/5 ( reviews)

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Book Synopsis Term Structure of Interest Rates by : Burton Gordon Malkiel

Download or read book Term Structure of Interest Rates written by Burton Gordon Malkiel. This book was released on 2015-12-08. Available in PDF, EPUB and Kindle. Book excerpt: Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

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