Springer Finance Textbooks

Term-Structure Models

A Graduate Course

Authors: Filipovic, Damir

  • First graduate textbook to cover such a broad range of topics, and special chapters on consistent term structure parameterizations and affine processes
  • All chapters end with a set of exercises, which provides the source for homework and exam questions
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eBook $44.99
price for USA (gross)
  • ISBN 978-3-540-68015-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $59.95
price for USA
  • ISBN 978-3-540-09726-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $59.95
price for USA
  • ISBN 978-3-642-26915-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk.

The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

About the authors

Damir Filipovic is head of the Vienna Institute of Finance, a research institution in the field of Mathematical Finance, funded by the Vienna Science and Technology Fund (WWTF), and founded and co-funded by the University of Vienna and the Vienna University of Economics and Business Administration. Prior to this position he held the Chair of Financial and Insurance Mathematics at the University of Munich, and he was Assistant Professor at Princeton University. Moreover, he worked for the Swiss Federal Office of Private Insurance, where he co-developed the Swiss Solvency Test (SST) – a risk based solvency assessment for insurance undertakings – which was enacted in 2006. He also held visiting positions at ETH Zurich, Columbia University, Stanford University, and the Vienna University of Technology.

Reviews

From the reviews:

“Term-Structure Models is a theoretical text suitable for a graduate students and practitioners … . Theoretical exercises are provided at the end of each chapter. … written in a theorem-proof style; it is structured very well. The writing is clear and to the point. I would recommend this book as a graduate level text on term-structure models, as well as a reference for anyone dealing with or interested in term-structure models.” (Ita Cirovic Donev, The Mathematical Association of America, February, 2010)

“This text by one of the leading authorities on term-structure and interest-rate models is useful for one semester graduate or advanced honors courses. Alternatively researchers in the field of mathematical finance, who wish to have a rather short reference text, may find this book appealing. The author comes straight to the point, without confusing the reader with to much material that is not directly related to the development of the theory. … Each chapter also contains a significant number of well chosen exercises.” (Christian-Oliver Ewald, Zentralblatt MATH, Vol. 1184, 2010)


Table of contents (12 chapters)

Buy this book

eBook $44.99
price for USA (gross)
  • ISBN 978-3-540-68015-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $59.95
price for USA
  • ISBN 978-3-540-09726-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $59.95
price for USA
  • ISBN 978-3-642-26915-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Term-Structure Models
Book Subtitle
A Graduate Course
Authors
Series Title
Springer Finance Textbooks
Copyright
2009
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-68015-4
DOI
10.1007/978-3-540-68015-4
Hardcover ISBN
978-3-540-09726-6
Softcover ISBN
978-3-642-26915-8
Edition Number
1
Number of Pages
XII, 256
Number of Illustrations and Tables
29 b/w illustrations
Topics