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.

Author: Moogukus Akicage
Country: Argentina
Language: English (Spanish)
Genre: Spiritual
Published (Last): 21 October 2006
Pages: 489
PDF File Size: 20.17 Mb
ePub File Size: 1.28 Mb
ISBN: 913-4-90794-189-5
Downloads: 60590
Price: Free* [*Free Regsitration Required]
Uploader: Saran

Term-Structure Models : A Graduate Course

One of these items ships sooner than the other. Interest Rate Models – Theory and Practice: See and discover other items: Review From the reviews: Futures in a Gaussian Setup.

Visit our Beautiful Books page and find lovely books for kids, photography lovers and more. East Dane Designer Men’s Fashion. Would you like to tell dmair about a lower price?

Customers who viewed this item also viewed. Springer; edition September 18, Language: Amazon Restaurants Food delivery from local restaurants.


The focus is on a mathematically straightforward but rigorous development of the theory. We use cookies to give you the best possible experience. Foundations and Vanilla Models.

Term-Structure Models : Damir Filipovic :

Amazon Rapids Fun stories for kids on the go. The author comes straight to the point, without confusing the reader with samir much material that is not directly related to the development of the theory. There’s a problem loading this menu right now. Alexa Actionable Analytics for the Web. Theoretical exercises are provided at the end of each chapter.

By using our website you agree to our use of cookies. Term-Structure Models Damir Filipovic. Set up a giveaway.

Dispatched from the UK in 3 business days When will my order arrive? Structkre quote From the reviews: Get to Know Us. Table of contents 1 Introduction. A Graduate Course Springer Finance.

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.

Description Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Students, researchers and practitioners will find this volume very useful. 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.


Each chapter structurr contains a significant number of well chosen exercises. Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers. Buy the selected items together This item: If you are a seller for this product, would you like to suggest updates through seller support?