Term-Structure Models

A Graduate Course

  • Damir Filipovic

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Damir Filipović
    Pages 1-3
  3. Damir Filipović
    Pages 5-28
  4. Damir Filipović
    Pages 29-57
  5. Damir Filipović
    Pages 59-77
  6. Damir Filipović
    Pages 79-92
  7. Damir Filipović
    Pages 93-103
  8. Damir Filipović
    Pages 105-116
  9. Damir Filipović
    Pages 117-122
  10. Damir Filipović
    Pages 123-141
  11. Damir Filipović
    Pages 143-195
  12. Damir Filipović
    Pages 197-223
  13. Damir Filipović
    Pages 225-243
  14. Back Matter
    Pages 245-256

About this book

Introduction

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.

Keywords

Black-Scholes Cox-Ingersoll-Ross model JEL Martingale Probability theory affine process arbitrage theory calculus credit risk diffusion process financial engineering interest rates statistics term-structure model

Authors and affiliations

  • Damir Filipovic
    • 1
  1. 1.Fédérale de Lausanne, Swiss Finance InstituteEcole PolytechniqueLausanneSwitzerland

Bibliographic information

  • 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
  • About this book