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Record Nr. |
UNINA9910829919903321 |
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Autore |
Nawalkha Sanjay K |
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Titolo |
Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto |
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Pubbl/distr/stampa |
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Hoboken, N.J., : John Wiley & Sons, c2007 |
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ISBN |
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1-119-20157-8 |
1-280-90029-6 |
9786610900299 |
0-470-14006-2 |
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Descrizione fisica |
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1 online resource (722 p.) |
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Collana |
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Classificazione |
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Altri autori (Persone) |
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Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna) |
SotoGloria M |
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Disciplina |
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Soggetti |
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Finance |
Stochastic processes |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references (p. 647-657) and index. |
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Nota di contenuto |
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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. |
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Sommario/riassunto |
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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. It is an essential |
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reference for academics and practitioners alike."" --Sanjiv Ranjan DasProfessor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives""Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, peda |
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