Term-Structure Models

Term-Structure Models
Author : Damir Filipovic
Publisher : Springer
Total Pages : 256
Release : 2012-05-04
ISBN 10 : 364226915X
ISBN 13 : 9783642269158
Language : EN, FR, DE, ES & NL

Term-Structure Models Book 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.

Term-Structure Models
Language: en
Pages: 256
Authors: Damir Filipovic
Categories: Mathematics
Type: BOOK - Published: 2012-05-04 - Publisher: Springer

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure m
Jump-diffusion Processes and Affine Term Structure Models
Language: en
Pages: 57
Authors: J. Benson Durham
Categories: Econometric models
Type: BOOK - Published: 2005 - Publisher:

Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to esti
Estimating Affine Multifactor Term Structure Models Using Closed-form Likelihood Expansions
Language: en
Pages: 52
Authors: Yacine Aït-Sahalia
Categories: Affine algebraic groups
Type: BOOK - Published: 2002 - Publisher:

We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximation
Term-Structure Models
Language: en
Pages: 256
Authors: Damir Filipovic
Categories: Mathematics
Type: BOOK - Published: 2009-07-28 - Publisher: Springer Science & Business Media

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure m
Time-series and Cross-section Information in Affine Term Structure Models
Language: en
Pages: 56
Authors: Frank de Jong
Categories: Interest rates
Type: BOOK - Published: 1999 - Publisher:

In this paper we provide an empirical analysis of the term structure of interest rates using the affine class of term structure models introduced by Duffie and
Dynamic Term Structure Modeling
Language: en
Pages: 722
Authors: Sanjay K. Nawalkha
Categories: Business & Economics
Type: BOOK - Published: 2007-05-23 - Publisher: John Wiley & Sons

Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibri
Modeling the Term Structure of Interest Rates
Language: en
Pages: 171
Authors: Rajna Gibson
Categories: Business & Economics
Type: BOOK - Published: 2010 - Publisher: Now Publishers Inc

Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to val
On the Estimation of Term Structure Models and An Application to the United States
Language: en
Pages: 64
Authors: International Monetary Fund
Categories: Business & Economics
Type: BOOK - Published: 2010-11-01 - Publisher: International Monetary Fund

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel
An Assessment of Estimates of Term Structure Models for the United States
Language: en
Pages: 33
Authors: Ying He
Categories: Business & Economics
Type: BOOK - Published: 2011-10-01 - Publisher: International Monetary Fund

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of ter
Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models
Language: en
Pages: 206
Authors: G. Gregoriou
Categories: Business & Economics
Type: BOOK - Published: 2010-11-30 - Publisher: Springer

This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it consider