Term-structure models. A graduate course
type: Item
instance of: scholarly article
title: Term-structure models. A graduate course
zbMATH Open document ID: 1184.91002
DOI: 10.1007/978-3-540-68015-4
author: Damir Filipović
published in: Springer Finance
publication date: 2008-06-24T00:00:00Z
review text: 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 to0 much material that is not directly related to the development of the theory. After a short introduction, the author introduces the main objects and instruments that are relevant in interest-rate theory in chapter 2. These include forward and future rates, fixed coupon bonds, interest-rate swaps, caps and floors. The author also discusses the various market conventions such as day count etc. and introduces Black's formula for caplets and swaptions, without proof. In chapter 3 the author discusses various techniques for estimating the term-structure, such as bootstrapping, non-parametric estimation, parametric estimation using various classes of splines and principal component analysis. Chapter 4 contains all necessary material on stochastic calculus. The presentation here is very brief and results are presented without proof, so that prior knowledge of stochastic calculus should be recommended for this text. Nevertheless, the chapter is written in a clear and rigorous way, and does its function in reminding the reader on all relevant techniques from stochastic calculus that are used in modern mathematical finance. In chapter 5 the author discusses short-rate models. He introduces affine term structure models, discusses the problem of inverting the forward curve and its relevance and provides various examples, which include all classical models, ranging from Vasicek and CIR to Hull and White. Chapter 6 is designated to the Heath-Jarrow-Morton framework. A particular emphasis lies on the discussion of absence of arbitrage and its consequences, i.e., the Heath-Jarrow-Morton drift condition, as well as the …
reviewed by: Christian-Oliver Ewald
Mathematics Subject Classification ID: 91-01
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5292023
zbMATH Keywords: interest rate theory
zbMATH Keywords: term structure models
zbMATH Keywords: mathematical finance
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1007/978-3-540-68015-4
OpenAlex ID: W4236324996
description: scientific article; zbMATH DE number 5292023