03118nam 2200625 a 450 991014340850332120170809162037.01-119-20157-81-280-90029-697866109002990-470-14006-2(CKB)1000000000355061(EBL)297266(OCoLC)476071328(SSID)ssj0000142000(PQKBManifestationID)11147217(PQKBTitleCode)TC0000142000(PQKBWorkID)10090297(PQKB)11732647(MiAaPQ)EBC297266(EXLCZ)99100000000035506120061119d2007 uy 0engur|n|---|||||txtccrDynamic term structure modeling[electronic resource] the fixed income valuation course /Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. SotoHoboken, N.J. John Wiley & Sonsc20071 online resource (722 p.)Wiley financeDescription based upon print version of record.0-471-73714-3 Includes bibliographical references (p. 647-657) and index.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.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 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, pedaWiley finance series.FinanceStochastic processesElectronic books.Finance.Stochastic processes.332.0151923332.63285.30bclNawalkha Sanjay K878026Beli͡aeva Natalʹi͡a A(Natalʹi͡a Anatolʹevna),1975-878027Soto Gloria M878028MiAaPQMiAaPQMiAaPQBOOK9910143408503321Dynamic term structure modeling1960238UNINA