Term-structure models: a graduate course
Auteur :
Filipovic, Damir
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783540097266
Date de publication :
14 août 2009
Dimensions :
21,0 x 15,0 x 2,5 cm
Poids :
559 g
Format :
Laminated cover
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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;