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Modeling the Term Structure of Interest Rates

- A Review of the Literature

Bag om Modeling the Term Structure of Interest Rates

Provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The originality of the survey lies in the fact that it provides a framework in which continuous-time term structure models can be nested and related to each other.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781601983725
  • Indbinding:
  • Paperback
  • Sideantal:
  • 172
  • Udgivet:
  • 16. december 2010
  • Størrelse:
  • 234x156x9 mm.
  • Vægt:
  • 252 g.
  • 8-11 hverdage.
  • 10. december 2024

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Beskrivelse af Modeling the Term Structure of Interest Rates

Provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The originality of the survey lies in the fact that it provides a framework in which continuous-time term structure models can be nested and related to each other.

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