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New Methods in Fixed Income Modeling = Fixed Income Modeling /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	New Methods in Fixed Income Modeling/ edited by Mehdi Mili, Reyes Samaniego Medina, Filippo di Pietro.
其他題名:	Fixed Income Modeling /
其他作者:	Mili, Mehdi.
面頁冊數:	XII, 297 p. 42 illus.online resource. :
Contained By:	Springer Nature eBook
標題:	Risk management. -
電子資源:	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. - 1st ed. 2018. - XII, 297 p. 42 illus.online resource. - 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:

559158
Risk management.

LC Class. No.: HD61

Dewey Class. No.: 658.155

New Methods in Fixed Income Modeling = Fixed Income Modeling /
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