LIBROS DEL AUTOR: damir filipovic

2 resultados para LIBROS DEL AUTOR: damir filipovic

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  • Term-Structure Models
    Damir Filipovic
    1 Introduction.- 2 Interest Rates and Related Contracts.- 2.1 Zero-Coupon Bonds.- 2.2 Interest Rates.- 2.2.1 Market Example: LIBOR.- 2.2.2 Simple vs. Continuous Compounding.- 2.2.3 Forward vs. Future Rates.- 2.3 Bank Account and Short Rates.- 2.4 Coupon Bonds, Swaps and Yields.- 2.4.1 Fixed Coupon Bonds.- 2.4.2 Floating Rate Notes.- 2.4.3 Interest Rate Swaps.- 2.4.4 Yield and D...
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    72,54 €

  • Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
    Damir Filipovic
    Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting meth...
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    60,78 €