Mehdi Mili,
Reyes Samaniego Medina,
Filippo di Pietro
New Methods in Fixed Income Modeling
Fixed Income Modeling
Gebonden Engels 2018 9783319952840
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.
Specificaties
ISBN13:9783319952840
Taal:Engels
Bindwijze:gebonden
Uitgever:Springer International Publishing
Lezersrecensies
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Inhoudsopgave
Term Structure, Market Expectations of the Short Rate, and Expected Inflation.- A New Approach to CIR Short Term Rates Modelling.- The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced.- Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework.- An Overview of Post-Crisis Term Structure Models.- A comparison of estimation techniques for the covariance matrix in a fixed-income framework.- The term structure under non-linearity assumptions: New methods in time series.- Affine type analysis for BESQ and CIR processes with applications to Mathematical Finance.
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