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English
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© 2026 Bookis AS
English
Norway
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Hardcover • 2009 • English
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About the book
Changing 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 Hea...Show more
Book details
ISBN
9783540097266
Publisher
Springer Berlin Heidelberg
Published year
2009
Language
English
Original title
Term-Structure Models A Graduate Course
Format
Hardcover
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