UID:
almafu_9959327252702883
Format:
1 online resource (xxxvi, 683 pages) :
,
illustrations
ISBN:
9781119201571
,
1119201578
,
9780470140062
,
0470140062
,
1280900296
,
9781280900297
Content:
Praise for Dynamic Term Structure Modeling. ''This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations.
Note:
A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model.
Additional Edition:
Print version: Nawalkha, Sanjay K. Dynamic term structure modeling. Hoboken, N.J. : John Wiley & Sons, ©2007 ISBN 9780471737148
Additional Edition:
ISBN 0471737143
Language:
English
Keywords:
Electronic books.
;
Electronic books.
;
Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119201571
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119201571
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119201571
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