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Term-Structure Models

- A Graduate Course

Bag om Term-Structure Models

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. LIBOR market models;

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540097266
  • Indbinding:
  • Hardback
  • Sideantal:
  • 256
  • Udgivet:
  • 14. August 2009
  • Udgave:
  • 2009
  • Størrelse:
  • 162x243x17 mm.
  • Vægt:
  • 576 g.
  • 8-11 hverdage.
  • 4. Oktober 2024

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Beskrivelse af Term-Structure Models

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. LIBOR market models;

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