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New Methods in Fixed Income Modeling

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Cover of 'New Methods in Fixed Income Modeling'

Table of Contents

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    Book Overview
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    Chapter 1 Term Structure, Market Expectations of the Short Rate, and Expected Inflation
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    Chapter 2 A New Approach to CIR Short-Term Rates Modelling
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    Chapter 3 The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced
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    Chapter 4 Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Framework
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    Chapter 5 An Overview of Post-crisis Term Structure Models
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    Chapter 6 A Comparison of Estimation Techniques for the Covariance Matrix in a Fixed-Income Framework
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    Chapter 7 The Term Structure Under Non-linearity Assumptions: New Methods in Time Series
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    Chapter 8 Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Finance
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    Chapter 9 Sensitivity Analysis and Hedging in Stochastic String Models
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    Chapter 10 Hedging Asian Bond Options with Malliavin Calculus Under Stochastic String Models
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    Chapter 11 Stochastic Recovery Rate: Impact of Pricing Measure’s Choice and Financial Consequences on Single-Name Products
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    Chapter 12 Dynamic Linkages Across Country Yield Curves: The Effects of Global and Local Yield Curve Factors on US, UK and German Yields
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    Chapter 13 Estimating the No-Negative-Equity Guarantee in Reverse Mortgages: International Sensitivity Analysis
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    Chapter 14 Institutional Versus Retail Investors’ Behavior Around Credit Rating News
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    Chapter 15 The Market and Individual Pricing Kernels Under No Arbitrage Asset Pricing Models
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Title
New Methods in Fixed Income Modeling
Published by
Springer International Publishing, November 2018
DOI 10.1007/978-3-319-95285-7
ISBNs
978-3-31-995284-0, 978-3-31-995285-7
Editors

Mili, Mehdi, Samaniego Medina, Reyes, di Pietro, Filippo

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Readers by discipline Count As %
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