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Author: Rajna Gibson Publisher: Now Publishers Inc ISBN: 1601983727 Category : Business & Economics Languages : en Pages : 171
Book Description
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.
Author: Rajna Gibson Publisher: Now Publishers Inc ISBN: 1601983727 Category : Business & Economics Languages : en Pages : 171
Book Description
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.
Author: Alexander Chudik Publisher: Emerald Group Publishing ISBN: 1802620672 Category : Business & Economics Languages : en Pages : 320
Book Description
The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Author: Damir Filipovic Publisher: Springer Science & Business Media ISBN: 3540680152 Category : Mathematics Languages : en Pages : 259
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.
Author: Marco Avellaneda Publisher: World Scientific ISBN: 9814495212 Category : Business & Economics Languages : en Pages : 387
Book Description
This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
Author: Marco Avellaneda Publisher: World Scientific ISBN: 9814490598 Category : Mathematics Languages : en Pages : 363
Book Description
This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
Author: David H. Romer Publisher: Brookings Institution Press ISBN: 0815703988 Category : Business & Economics Languages : en Pages : 350
Book Description
Brookings Papers on Economic Activity (BPEA) provides academic and business economists, government officials, and members of the financial and business communities with timely research on current economic issues. Contents: Editors' Summary The Financial Crisis: An Inside View By Phillip Swagel Understanding Inflation-Indexed Bond Markets By John Y. Campbell, Robert J. Shiller, and Luis M. Viceira Do Tax Cuts Starve the Beast? The Effect of Tax Changes on Government Spending By Christina D. Romer and David H. Romer Causes and Consequences of the Oil Shock of 2007-08 By James D. Hamilton Why Doesn't Capitalism Flow to Poor Countries? By Rafael Di Tella and Robert MacCulloch, reviewing a previous edition or volume
Author: Rajna Gibson
Author: Rajna Gibson
Author: Alexander Chudik
Author: Damir Filipovic
Author: David Frederik Schrager
Author: David Meiselman
Author: Hibiki Ichiue
Author: Marco Avellaneda
Author: Marco Avellaneda
Author: David H. Romer
Author: Robert Sterling Goldstein