New Methods in Fixed Income Modeling Fixed Income Modeling /

Bibliographic Details
Corporate Author:	SpringerLink (Online service)
Other Authors:	Mili, Mehdi (Editor), Samaniego Medina, Reyes (Editor), di Pietro, Filippo (Editor)
Summary:	XII, 297 p. 42 illus. text
Language:	English
Published:	Cham : Springer International Publishing : Imprint: Springer, 2018.
Edition:	1st ed. 2018.
Series:	Contributions to Management Science,
Subjects:	Financial risk management. Business enterprises > Finance. Financial services industry. Financial engineering. Social sciences > Mathematics. Risk Management. Corporate Finance. Financial Services. Financial Engineering. Mathematics in Business, Economics and Finance.
Online Access:	https://doi.org/10.1007/978-3-319-95285-7
Format:	Electronic Book

Table of Contents:

Term Structure, Market Expectations of the Short Rate, and Expected Inflation
A New Approach to CIR Short Term Rates Modelling
The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced
Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
An Overview of Post-Crisis Term Structure Models
A comparison of estimation techniques for the covariance matrix in a fixed-income framework
The term structure under non-linearity assumptions: New methods in time series
Affine type analysis for BESQ and CIR processes with applications to Mathematical Finance.

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