國立高雄大學圖資館 |

Language: English

Back

New methods in fixed income modeling...

Di Pietro, Filippo.

New methods in fixed income modelingfixed income modeling /

Record Type:	Electronic resources : Monograph/item
Title/Author:	New methods in fixed income modelingedited 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 securitiesMathematical models.
Online resource:	https://doi.org/10.1007/978-3-319-95285-7
ISBN:	9783319952857$q(electronic bk.)

New methods in fixed income modelingfixed 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$q(electronic bk.)

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

228280
Fixed-income securities
--Mathematical models.

LC Class. No.: HG4650 / .N496 2018

Dewey Class. No.: 332.632044

New methods in fixed income modelingfixed income modeling /
LDR:02298nmm a2200337 a 4500 001 543789
003 DE-He213
005 20190225164155.0
006 m d
007 cr nn 008maaau
008 190430s2018 gw s 0 eng d
020 $a 9783319952857$q(electronic bk.)
020 $a 9783319952840$q(paper)
024 7 $a 10.1007/978-3-319-95285-7 $2 doi
035 $a 978-3-319-95285-7
040 $a GP $c GP
041 0 $a eng
050 4 $a HG4650 $b .N496 2018
072 7 $a KJM $2 bicssc
072 7 $a BUS033070 $2 bisacsh
072 7 $a KJM $2 thema
082 0 4 $a 332.632044 $2 23
090 $a HG4650 $b .N532 2018
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.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2018.
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.
650 0 $a Fixed-income securities $x Mathematical models. $3 228280
650 1 4 $a Risk Management. $3 297189
650 2 4 $a Business Finance. $3 731055
650 2 4 $a Investments and Securities. $3 739860
650 2 4 $a Financial Engineering. $3 744568
650 2 4 $a Quantitative Finance. $3 274071
700 1 $a Mili, Mehdi. $3 822073
700 1 $a Samaniego Medina, Reyes. $3 822074
700 1 $a Di Pietro, Filippo. $3 822075
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a Contributions to management science. $3 557484
856 4 0 $u https://doi.org/10.1007/978-3-319-95285-7
950 $a Economics and Finance (Springer-41170)