Description: Term-Structure Models by Damir Filipovic Estimated delivery 3-12 business days Format Paperback Condition Brand New Description 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. LIBOR market models; Publisher Description 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. Author Biography Damir Filipovic is head of the Vienna Institute of Finance, a research institution in the field of Mathematical Finance, funded by the Vienna Science and Technology Fund (WWTF), and founded and co-funded by the University of Vienna and the Vienna University of Economics and Business Administration. Prior to this position he held the Chair of Financial and Insurance Mathematics at the University of Munich, and he was Assistant Professor at Princeton University. Moreover, he worked for the Swiss Federal Office of Private Insurance, where he co-developed the Swiss Solvency Test (SST) – a risk based solvency assessment for insurance undertakings – which was enacted in 2006. He also held visiting positions at ETH Zurich, Columbia University, Stanford University, and the Vienna University of Technology. Details ISBN 364226915X ISBN-13 9783642269158 Title Term-Structure Models Author Damir Filipovic Format Paperback Year 2012 Pages 256 Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG GE_Item_ID:140484734; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. We are unable to deliver faster than stated. International deliveries will take 1-6 weeks. NOTE: We are unable to offer combined shipping for multiple items purchased. This is because our items are shipped from different locations. Returns If you wish to return an item, please consult our Returns Policy as below: Please contact Customer Services and request "Return Authorisation" before you send your item back to us. Unauthorised returns will not be accepted. Returns must be postmarked within 4 business days of authorisation and must be in resellable condition. Returns are shipped at the customer's risk. We cannot take responsibility for items which are lost or damaged in transit. For purchases where a shipping charge was paid, there will be no refund of the original shipping charge. Additional Questions If you have any questions please feel free to Contact Us. Categories Baby Books Electronics Fashion Games Health & Beauty Home, Garden & Pets Movies Music Sports & Outdoors Toys
Price: 67.04 USD
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Restocking Fee: No
Return shipping will be paid by: Buyer
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Refund will be given as: Money Back
ISBN-13: 9783642269158
Book Title: Term-Structure Models
Number of Pages: Xii, 256 Pages
Language: English
Publication Name: Term-Structure Models : a Graduate Course
Publisher: Springer Berlin / Heidelberg
Publication Year: 2012
Subject: Interest, Game Theory, Probability & Statistics / General, Investments & Securities / Options, Applied, Investments & Securities / General
Item Weight: 16 Oz
Type: Textbook
Author: Damir Filipovic
Item Length: 9.3 in
Subject Area: Mathematics, Business & Economics
Series: Springer Finance Ser.
Item Width: 6.1 in
Format: Trade Paperback
