New Methods in Fixed Income Modeling Fixed Income Modeling /

This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the f...

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Bibliographic Details
Format: Electronic eBook
Language:English
Published: Cham : Springer International Publishing, 2018.
Edition:1st ed. 2018.
Series:Contributions to Management Science,
Subjects:
Risk management.
Business enterprises-Finance.
Investment banking.
Securities.
Financial engineering.
Economics, Mathematical .
ISBN:9783319952857
ISSN:1431-1941
Online Access: Get full text
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Table of Contents:
  • Term Structure, Market Expectations of the Short Rate, and Expected Inflation
  • A New Approach to CIR Short Term Rates Modelling
  • The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced
  • Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
  • An Overview of Post-Crisis Term Structure Models
  • A comparison of estimation techniques for the covariance matrix in a fixed-income framework
  • The term structure under non-linearity assumptions: New methods in time series
  • Affine type analysis for BESQ and CIR processes with applications to Mathematical Finance.

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