TY - BOOK ID - 38377503 TI - Term-structure models: a graduate course PY - 2009 SN - 9783540680154 9783540097266 PB - Dordrecht Springer DB - UniCat KW - Quantitative methods (economics) KW - financiële analyse KW - toegepaste wiskunde KW - Operational research. Game theory KW - speltheorie KW - kansrekening KW - Financial analysis KW - Mathematics KW - stochastische analyse KW - EPUB-LIV-FT LIVMATHE LIVSTATI SPRINGER-B KW - Money market. Capital market KW - Finanzmathematik. KW - Fixed-income securities KW - Interest rate risk. KW - Interest rates KW - Options (Finance). KW - Zinsstrukturtheorie. KW - Valuation KW - Mathematical models. KW - Interest rate risk KW - Options (Finance) KW - 305.7 KW - 333.642 KW - AA / International- internationaal KW - Call options KW - Calls (Finance) KW - Listed options KW - Options exchange KW - Options market KW - Options trading KW - Put and call transactions KW - Put options KW - Puts (Finance) KW - Derivative securities KW - Investments KW - Risk KW - Fixed-income investments KW - Investments, Fixed-income KW - Securities, Fixed-income KW - Securities KW - Valuation&delete& KW - Mathematical models KW - Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente KW - Termijn. Financial futures KW - Law and legislation UR - https://www.unicat.be/uniCat?func=search&query=sysid:38377503 AB - 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. ER -