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
|
| Titolo: |
Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto
|
| 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 | |
| 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 |
| 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.: | 9910829919903321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Wiley finance series.