{"product_id":"term-structure-models-damir-filipovic-9783540097266","title":"Term-Structure Models: A Graduate Course","description":"\u003cp\u003eChanging interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. \u003c\/p\u003e \u003cp\u003e\u003c\/p\u003e \u003cp\u003eThe focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary It  calculus, basic probability theory, and real and complex analysis.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Damir Filipovic\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3540097260\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783540097266\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 08\/14\/2009\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 256\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 1.17lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.38h x 6.32w x 0.76d","brand":"Damir Filipovic","offers":[{"title":"Hardcover","offer_id":43940801380607,"sku":"9783540097266","price":84.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/products\/img_134fca00-2862-4d41-bb94-e278ee033e95.jpg?v=1681449257","url":"https:\/\/www.whiterainbookhouse.com\/products\/term-structure-models-damir-filipovic-9783540097266","provider":"WR Book House","version":"1.0","type":"link"}