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New methods in fixed income modeling = fixed income modeling /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	New methods in fixed income modeling/ edited by Mehdi Mili, Reyes Samaniego Medina, Filippo di Pietro.
Reminder of title:	fixed income modeling /
other author:	Mili, Mehdi.
Published:	Cham :Springer International Publishing : : 2018.,
Description:	xii, 297 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
Subject:	Fixed-income securities - Mathematical models. -
Online resource:	https://doi.org/10.1007/978-3-319-95285-7
ISBN:	9783319952857

New methods in fixed income modeling = fixed income modeling /
New methods in fixed income modelingfixed income modeling /[electronic resource] :edited by Mehdi Mili, Reyes Samaniego Medina, Filippo di Pietro. - Cham :Springer International Publishing :2018. - xii, 297 p. :ill., digital ;24 cm. - Contributions to management science,1431-1941. - Contributions to management science..

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.

This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.

ISBN: 9783319952857

Standard No.: 10.1007/978-3-319-95285-7doiSubjects--Topical Terms:

672393
Fixed-income securities
--Mathematical models.

LC Class. No.: HG4650 / .N496 2018

Dewey Class. No.: 332.632044

New methods in fixed income modeling = fixed income modeling /
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245 0 0 $a New methods in fixed income modeling $h [electronic resource] : $b fixed income modeling / $c edited by Mehdi Mili, Reyes Samaniego Medina, Filippo di Pietro.
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300 $a xii, 297 p. : $b ill., digital ; $c 24 cm.
490 1 $a Contributions to management science, $x 1431-1941
505 0 $a 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.
520 $a This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.
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700 1 $a Mili, Mehdi. $3 1208367
700 1 $a Samaniego Medina, Reyes. $3 1208368
700 1 $a Di Pietro, Filippo. $3 1208369
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