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Modeling the Term Structure of Interest Rates by Rajna Gibson
Modeling the Term Structure of Interest Rates by Rajna Gibson
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Modeling the Term Structure of Interest Rates

A Review of the Literature
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Description

Modeling 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. The aim of this survey is to provide a comprehensive review of these continuous time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The originality of the survey lies in the fact that it provides a unifying framework in which most continuous-time term structure models can be nested and thus related to each other. Thus, it presents the most important continuous-time term structure models in the literature but also provide a mathematically rigorous and unifying setting in which these models can be compared in terms of their similarities, distinguished in terms of their idiosyncratic features and in which their main contributions and limitations can easily be highlighted.
Release date Australia
December 16th, 2010
Audience
  • Professional & Vocational
Pages
172
Dimensions
156x234x9
ISBN-13
9781601983725
Product ID
10065929

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