DAMIR FILIPOVIC TERM STRUCTURE MODELS PDF

DAMIR FILIPOVIC TERM STRUCTURE MODELS PDF

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June 20, 2020

Editorial Reviews. Review. From the reviews: “Term-Structure Models is a theoretical text suitable for a graduate students and practitioners . Theoretical . Term-Structure Models by Damir Filipovic, , available at Book Depository with free delivery worldwide. We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become.

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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. 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 midels pricing with Fourier transform; LIBOR market models; and credit risk.

The focus is on a mathematically straightforward but rigorous development of the theory.

Students, researchers and practitioners will find mode,s volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Theoretical exercises are provided at the end of each chapter. The writing is clear and to the point. I would recommend this book as a graduate level text on term-structure models, as well as a reference for anyone dealing with or interested in term-structure models.

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Alternatively researchers in the field of mathematical finance, who wish to have a rather short reference text, may find this book appealing. The author comes straight to the point, without confusing the reader with to much material damri is not directly related to the development of the theory.

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Term-Structure Models : A Graduate Course

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