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Term-Structure Models
Language: en
Pages: 259
Authors: Damir Filipovic
Categories: Mathematics
Type: BOOK - Published: 2009-07-28 - Publisher: Springer Science & Business Media

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Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure m
Interest Rate Modeling
Language: en
Pages: 1154
Authors: Leif B. G. Andersen
Categories: Business & Economics
Type: BOOK - Published: 2010 - Publisher:

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"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is
Modeling the Term Structure of Interest Rates
Language: en
Pages: 171
Authors: Rajna Gibson
Categories: Business & Economics
Type: BOOK - Published: 2010 - Publisher: Now Publishers Inc

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Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to val
Dynamic Term Structure Modeling
Language: en
Pages: 683
Authors: Sanjay K. Nawalkha
Categories: Business & Economics
Type: BOOK - Published: 2007-06-04 - Publisher: Wiley

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Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibri
Zero Lower Bound Term Structure Modeling
Language: en
Pages: 436
Authors: L. Krippner
Categories: Business & Economics
Type: BOOK - Published: 2015-01-05 - Publisher: Springer

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Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to