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Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto



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Autore: Nawalkha Sanjay K Visualizza persona
Titolo: Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto Visualizza cluster
Pubblicazione: Hoboken, N.J., : John Wiley & Sons, c2007
Descrizione fisica: 1 online resource (722 p.)
Disciplina: 332.0151923
332.632
Soggetto topico: Finance
Stochastic processes
Soggetto genere / forma: Electronic books.
Classificazione: 85.30
Altri autori: Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna)  
SotoGloria M  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references (p. 647-657) and index.
Nota di contenuto: 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.
Sommario/riassunto: 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, peda
Titolo autorizzato: Dynamic term structure modeling  Visualizza cluster
ISBN: 1-119-20157-8
1-280-90029-6
9786610900299
0-470-14006-2
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910143408503321
Lo trovi qui: Univ. Federico II
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Serie: Wiley finance series.