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Author: Rajna Gibson
Publisher: Now Publishers Inc
Published: 2010
Total Pages: 171
ISBN-13: 1601983727
DOWNLOAD EBOOKModeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: David Meiselman
Publisher:
Published: 1962
Total Pages: 96
ISBN-13:
DOWNLOAD EBOOKAuthor: Juan J. Dolado
Publisher: Emerald Group Publishing
Published: 2022-09-21
Total Pages: 203
ISBN-13: 1803828315
DOWNLOAD EBOOKBoth parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Author: Lance Alexander Fisher
Publisher:
Published: 1988
Total Pages: 392
ISBN-13:
DOWNLOAD EBOOKAuthor: Damir Filipovic
Publisher: Springer Science & Business Media
Published: 2009-07-28
Total Pages: 259
ISBN-13: 3540680152
DOWNLOAD EBOOKChanging 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.
Author: Reuben A. Kessel
Publisher:
Published: 1965
Total Pages: 132
ISBN-13:
DOWNLOAD EBOOKAuthor: Alexander Chudik
Publisher: Emerald Group Publishing
Published: 2022-01-18
Total Pages: 320
ISBN-13: 1802620672
DOWNLOAD EBOOKThe collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Author: Guoqiang Sun
Publisher:
Published: 1998
Total Pages: 238
ISBN-13:
DOWNLOAD EBOOKAuthor: Don M. Chance
Publisher: John Wiley & Sons
Published: 2011-07-05
Total Pages: 403
ISBN-13: 1118160649
DOWNLOAD EBOOKIn the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Author: Mr.Jaromir Benes
Publisher: International Monetary Fund
Published: 2012-08-01
Total Pages: 71
ISBN-13: 1475505523
DOWNLOAD EBOOKAt the height of the Great Depression a number of leading U.S. economists advanced a proposal for monetary reform that became known as the Chicago Plan. It envisaged the separation of the monetary and credit functions of the banking system, by requiring 100% reserve backing for deposits. Irving Fisher (1936) claimed the following advantages for this plan: (1) Much better control of a major source of business cycle fluctuations, sudden increases and contractions of bank credit and of the supply of bank-created money. (2) Complete elimination of bank runs. (3) Dramatic reduction of the (net) public debt. (4) Dramatic reduction of private debt, as money creation no longer requires simultaneous debt creation. We study these claims by embedding a comprehensive and carefully calibrated model of the banking system in a DSGE model of the U.S. economy. We find support for all four of Fisher's claims. Furthermore, output gains approach 10 percent, and steady state inflation can drop to zero without posing problems for the conduct of monetary policy.
