New Methods in Fixed Income Modeling Fixed Income Modeling /

New Methods in Fixed Income Modeling Fixed Income Modeling /

Detalhes bibliográficos
Autor Corporativo: SpringerLink (Online service)
Outros Autores: Mili, Mehdi (Editor), Samaniego Medina, Reyes (Editor), di Pietro, Filippo (Editor)
Resumo:XII, 297 p. 42 illus.
text
Idioma:inglês
Publicado em: Cham : Springer International Publishing : Imprint: Springer, 2018.
Edição:1st ed. 2018.
Colecção:Contributions to Management Science,
Assuntos:
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.
Acesso em linha:https://doi.org/10.1007/978-3-319-95285-7
Formato: Recurso Electrónico Livro
Sumário:
  • 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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