Interest Rate Modeling. Volume 1 - Foundations and Vanilla ModelsVladimir Ilich Piterbarg
interest rate modeling and the risk premiums in interest rate swaps (the research foundation of aimr and blackwell series in finance) 文档格式: .pdf 文档大小: 2.2M 文档页数: 48页 顶/踩数: 0 / 0 收藏人数: 0 评论次数: 0 文档热度: 文档分类: 经济/贸易/财会 -- 资产评估/会计 文档...
Interest Rate Modeling. Volume 2 作者:Leif B. G. Andersen/Vladimir V. Piterbarg 出版社:Atlantic Financial Press 副标题:Term Structure Models 出版年:2010-8-17 页数:376 定价:GBP 69.00 装帧:Hardcover 丛书:Interest Rate Modeling ISBN:9780984422111...
Interest rate modeling In her thesis, Sandrine Hénon introduces a one factor LGM (Linear Gauss Markov) interest rate model with stochastic volatility . She gives a rather comple... S Henon 被引量: 1发表: 2005年 HJM Interest Rate Modeling with Rate and Maturity‐Dependent Volatility In her th...
第一章:利率风险建模概览 思维导图 一些想法 久期向量模型类似于研究组合收益的高阶矩。 久期向量模型用的是一般多项式表达高阶久期,试试正交多项式? Nelson-Siegel 模型家族的成员同样可以用少量参数描述整个曲线的动态,因此可以搞出类似主成份久期的模型。
第四章是利率建模基础,实际上相当于第一章内容在利率市场的初步应用。章节的主要目的是介绍两个最主要的标的变量:Libor rate和swap rate,以及他们之间的关系和常用的几个测度空间。第五章为利率产品的介绍,还是属于引论性质,产品的基本特征和数学表示,具体的定价应用都是在第三卷才涉及到,毕竟到这里模型一个都还没...
内容提示: INTEREST RATE MODELING, ESTIMATION OF THE PARAMETERS OF VASICEK MODEL by Andrey Ivasiuk A thesis submitted in partial fulfillment of the requirements for the degree of Master of Arts in Economics National University “Kyiv-Mohyla Academy” Economics Education and Research Consortium Master’...
Companion website for books by L. Andersen and V. Piterbarg This is a companion site to our three-volume set of books “Interest Rate Modeling”. Below you will find some useful links and resources. If you do not find what you are looking for, please contactus ...
As noted above, the Vasicek Interest Rate model, which is commonly referred to as the Vasicek model, is a mathematical model used in financial economics to estimate potential pathways for future interest rate changes. As such, it's considered astochastic model, which is a form of modeling that...
《Interest Rate Risk Modeling》阅读笔记——第二章:债券价格、久期与凸性 目录 第二章:债券价格、久期与凸性 思维导图 瞬时回报率-收益率的例子 第二章:债券价格、久期与凸性 思维导图 瞬时回报率-收益率的例子