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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East Dane Designer Men’s Fashion. Review From the reviews: Amazon Restaurants Food delivery from local restaurants. The focus is on a mathematically straightforward but rigorous development of the theory. English Choose a language for shopping.

If you are a seller for this product, would you like to suggest updates through seller support? Product details Format Hardback pages Dimensions x x Risk and Asset Allocation Attilio Meucci. Pages with related products. Changing interest rates modles one of the major risk sources for banks, insurance companies, and other financial institutions. Moreover, he worked for the Swiss Federal Office of Private Insurance, where he co-developed the Swiss Solvency Test SST – a risk based solvency assessment for insurance undertakings – which was enacted in Amazon Music Stream millions of songs.


Review quote From the reviews: 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.

Table of contents 1 Introduction. Amazon Second Chance Pass it on, trade it in, give it a second life.

Each chapter also contains a significant number of well chosen exercises. Modeling the term-structure movements of interest rates is a challenging task. The Volatility Smile Wiley Finance. See and discover other items: Futures in a Gaussian Setup.

Term-Structure Models : Damir Filipovic :

Students, researchers and wtructure 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.

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Term-Structure Models : A Graduate Course

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filipovjc Theoretical exercises are provided at the end of each chapter. Book ratings by Goodreads. Back cover copy Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Get fast, free shipping with Amazon Prime. The writing is clear and to the point. Theoretical exercises are provided at the end of each chapter. Write a customer review.

The author comes straight to the point, without confusing the reader with to much material that is not directly related to the development of the theory.

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