(Springer Finance) -Term-Structure Models_A Graduate Course

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pdf文件，英文原版，2009年出版 作者：Damir Filipovic

Changing interest rates constitute one of the major risk sources forbanks, insurance companies, and other financial institutions. Modelingthe term-structure movements of interest rates is a challenging task.This volume gives an introduction to the mathematics of term-structuremodels in continuous time. It includes practical aspects forfixed-income markets such as day-count conventions, duration ofcoupon-paying bonds and yield curve construction; arbitrage theory;short-rate models; the Heath-Jarrow-Morton methodology; consistentterm-structure parametrizations; affine diffusion processes and optionpricing with Fourier transform; LIBOR market models; and credit risk.
The focus is on a mathematically straightforward but rigorousdevelopment of the theory. Students, researchers and practitioners willfind this volume very useful. Each chapter ends with a set ofexercises, that provides source for homework and exam questions.Readers are expected to be familiar with elementary Itô calculus, basicprobability theory, and real and complex analysis.

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关键词：Structure Springer Graduate Finance struct Finance models Graduate Course Springer

是好东西 也是新东西 贵点行

1 Introduction ................................ 1
2 Interest Rates and Related Contracts .................. 5
3 Estimating the Term-Structure ..................... 29
4 Arbitrage Theory ............................. 59
5 Short-Rate Models ............................ 79
6 Heath–Jarrow–Morton (HJM) Methodology .............. 93
6.1 ForwardCurveMovements ..................... 93
6.2 Absence of Arbitrage ........................ 95
6.3 Short-Rate Dynamics ........................ 96
6.4 HJM Models ............................. 97
6.4.1 Proportional Volatility . ................... 98
6.5 Fubini’s Theorem .......................... 99
6.6 Exercises...............................102
6.7 Notes.................................103
7 Forward Measures ............................105
7.1 T -BondasNumeraire ........................105
7.2 BondOptionPricing.........................109
7.2.1 Example: Vasiˇ cek Short-Rate Model . . . .........110
7.3 Black–Scholes Model with Gaussian Interest Rates .........110
7.3.1 Example: Black–Scholes–Vasiˇ cek Model . .........113
7.4 Exercises...............................114
7.5 Notes.................................116
8 Forwards and Futures ..........................117
8.1 ForwardContracts..........................117
8.2 FuturesContracts ..........................118
8.2.1 InterestRateFutures.....................119
8.3 Forwardvs.FuturesinaGaussianSetup ..............120
8.4 Exercises...............................121
8.5 Notes.................................122
9 Consistent Term-Structure Parametrizations .............123
9.1 Multi-factor Models .........................123
9.2 Consistency Condition ........................125
9.3 AffineTerm-Structures .......................127
9.4 Polynomial Term-Structures . . ...................128
9.4.1 Special Case: m = 1.....................129
9.4.2 General Case: m ≥ 1.....................131
9.5 Exponential–Polynomial Families ..................134
9.5.1 Nelson–Siegel Family . ...................134
9.5.2 SvenssonFamily.......................135
9.6 Exercises...............................138
9.7 Notes.................................140
10 Affine Processes ..............................143
10.1 Definition and Characterization of Affine Processes ........143
10.2 Canonical State Space ........................146
10.3 Discounting and Pricing in Affine Models .............151
10.3.1 Examples of Fourier Decompositions . . . .........157
10.3.2 Bond Option Pricing in Affine Models . . .........161xii Contents
10.3.3 Heston Stochastic Volatility Model .............166
10.4 Affine Transformations and Canonical Representation .......168
10.5 Existence and Uniqueness of Affine Processes . . .........171
10.6 On the Regularity of Characteristic Functions . . . .........173
10.7 Auxiliary Results for Differential Equations . . . .........177
10.7.1 Some Invariance Results ...................177
10.7.2 Some Results on Riccati Equations .............180
10.7.3 Proof of Theorem 10.3 ....................185
10.8Exercises...............................186
10.9Notes.................................194
11 Market Models ..............................197
11.1 HeuristicDerivation ........................197
11.2 LIBOR Market Model .......................199
11.2.1 LIBOR Dynamics Under Different Measures .......201
11.3 ImpliedBondMarket........................201
11.4 Implied Money-Market Account ..................204
11.5 SwaptionPricing..........................206
11.5.1ForwardSwapMeasure ..................207
11.5.2AnalyticApproximations..................209
11.6 Monte Carlo Simulation of the LIBOR Market Model ......210
11.7 Volatility Structure and Calibration ................212
11.7.1 Principal Component Analysis ...............212
11.7.2CalibrationtoMarketQuotes ...............213
11.8 Continuous-Tenor Case .......................219
11.9 Exercises ..............................221
11.10Notes ................................223
12 Default Risk ................................225
12.1 Default and Transition Probabilities .................225
12.2 Structural Approach .........................227
12.3 Intensity-Based Approach . . . ...................229
12.3.1 Construction of Doubly Stochastic Intensity-Based Models 235
12.3.2 Computation of Default Probabilities . . . .........236
12.3.3PricingDefaultRisk.....................236
12.3.4 Measure Change .......................240
12.4Exercises...............................242
12.5Notes.................................243
References ...................................245
Index ......................................253

this is very nice

a good book for us, recommendation

看下目录感觉和06年版没什么区别，要10金偏贵了...

Thank you very much.

thank you so much~

thank you very much
i have been looking for it for so long...

小贵，而且比较难，暂时不下载