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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models [[electronic resource] /] / by Damir Filipovic
| Consistency Problems for Heath-Jarrow-Morton Interest Rate Models [[electronic resource] /] / by Damir Filipovic |
| Autore | Filipovic Damir |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (X, 138 p.) |
| Disciplina | 332.82015118 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Applied mathematics
Engineering mathematics Finance Economics, Mathematical Probabilities Applications of Mathematics Finance, general Quantitative Finance Probability Theory and Stochastic Processes |
| ISBN | 3-540-44548-X |
| Classificazione |
91B28
60H15 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions. |
| Record Nr. | UNISA-996466374803316 |
Filipovic Damir
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models / / by Damir Filipovic
| Consistency Problems for Heath-Jarrow-Morton Interest Rate Models / / by Damir Filipovic |
| Autore | Filipovic Damir |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (X, 138 p.) |
| Disciplina | 332.82015118 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Applied mathematics
Engineering mathematics Finance Economics, Mathematical Probabilities Applications of Mathematics Finance, general Quantitative Finance Probability Theory and Stochastic Processes |
| ISBN | 3-540-44548-X |
| Classificazione |
91B28
60H15 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions. |
| Record Nr. | UNINA-9910144599403321 |
|
Filipovic Damir
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest Rate Modeling: Post-Crisis Challenges and Approaches / / by Zorana Grbac, Wolfgang Runggaldier
| Interest Rate Modeling: Post-Crisis Challenges and Approaches / / by Zorana Grbac, Wolfgang Runggaldier |
| Autore | Grbac Zorana |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (151 p.) |
| Disciplina | 332.82015118 |
| Collana | SpringerBriefs in Quantitative Finance |
| Soggetto topico |
Economics, Mathematical
Game theory Quantitative Finance Game Theory, Economics, Social and Behav. Sciences |
| ISBN | 3-319-25385-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1 Post-Crisis Fixed-Income Markets; 1.1 Types of Interest Rates and Market Conventions; 1.1.1 Basic Interest Rates: Libor/Euribor, Eonia/FF and OIS Rates; 1.2 Implications of the Crisis; 1.2.1 Spreads and Their Interpretation: Credit and Liquidity Risk; 1.2.2 From Unsecured to Secured Transactions; 1.2.3 Clean Prices Versus Global Prices; 1.3 The New Paradigm: Multiple Curves at All Levels; 1.3.1 Choice of the Discount Curve; 1.3.2 Standard Martingale Measure and Forward Measures Related to OIS Bonds; 1.4 Interest Rate Derivatives; 1.4.1 Forward Rate Agreements
1.4.2 Fixed and Floating Rate Bonds1.4.3 Interest Rate Swaps; 1.4.4 Overnight Indexed Swaps (OIS); 1.4.5 Basis Swaps; 1.4.6 Caps and Floors; 1.4.7 Swaptions; 2 Short-Rate and Rational Pricing Kernel Models for Multiple Curves; 2.1 Exponentially Affine Factor Models; 2.1.1 The Factor Model and Properties; 2.1.2 Technical Preliminaries; 2.1.3 Explicit Representation of the Libor Rate; 2.2 Gaussian, Exponentially Quadratic Models; 2.3 Pricing of FRAs and Other Linear Derivatives; 2.3.1 Computation of FRA Prices and FRA Rates; 2.3.2 Adjustment Factors for FRAs; 2.4 Pricing of Caps and Floors 3.4.1 Linear Derivatives: Interest Rate Swaps3.4.2 Linear Derivatives: Specific Swaps and Ensuing Spreads; 3.4.3 Caps and Floors; 3.4.4 Swaptions; 3.5 Adjustment Factors; 3.5.1 Adjustment Factor for the Instantaneous Forward Rate Models; 3.5.2 Adjustment Factor for the HJM-LMM Forward Rate Model; 4 Multiple Curve Extensions of Libor Market Models (LMM); 4.1 Multi-curve Extended LMM; 4.1.1 Description of the Model; 4.1.2 Model Specifications; 4.2 Affine Libor Models with Multiple Curves; 4.2.1 The Driving Process and Its Properties; 4.2.2 The Model 4.2.3 Pricing in the Multiple Curve Affine Libor Model4.3 Multiplicative Spread Models; References |
| Record Nr. | UNINA-9910300246603321 |
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Grbac Zorana
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Term-structure models : a graduate course / Damir Filipovic
| Term-structure models : a graduate course / Damir Filipovic |
| Autore | FILIPOVIC, Damir |
| Pubbl/distr/stampa | Berlin : Springer, c2009 |
| Descrizione fisica | xii, 256 p. ; 25 cm |
| Disciplina | 332.82015118(ECONOMIA FINANZIARIA. INTERESSE. Modelli matematici) |
| Collana | Springer finance |
| Soggetto topico | Tassi di interesse - Modelli matematici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005553910203316 |
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FILIPOVIC, Damir
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| Berlin : Springer, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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