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000890155 019__ $$a1049786471$$a1049934520$$a1055592532
000890155 020__ $$a9783319952857$$q(electronic book)
000890155 020__ $$a3319952854$$q(electronic book)
000890155 020__ $$z9783319952840
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000890155 0247_ $$a10.1007/978-3-319-95285-7$$2doi
000890155 035__ $$aSP(OCoLC)on1049150274
000890155 035__ $$aSP(OCoLC)1049150274$$z(OCoLC)1049786471$$z(OCoLC)1049934520$$z(OCoLC)1055592532
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000890155 049__ $$aISEA
000890155 050_4 $$aHG4650$$b.N49 2018
000890155 08204 $$a332.63/2044$$223
000890155 24500 $$aNew methods in fixed income modeling :$$bfixed income modeling /$$cMehdi Mili, Reyes Samaniego Medina, Filippo di Pietro, editors.
000890155 264_1 $$aCham, Switzerland :$$bSpringer,$$c[2018]
000890155 300__ $$a1 online resource.
000890155 336__ $$atext$$btxt$$2rdacontent
000890155 337__ $$acomputer$$bc$$2rdamedia
000890155 338__ $$aonline resource$$bcr$$2rdacarrier
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000890155 4901_ $$aContributions to management science
000890155 5050_ $$aIntro; Preface; Scientific Committee; Contents; New Term Structure Modeling Approaches; Term Structure, Market Expectations of the Short Rate, and Expected Inflation; 1 Introduction; 2 A New Usage of the Classic Model; 2.1 Instantaneous Forward Rate; 2.2 Volatility Term Structure and Markov Representation; 2.3 A Closer Look at the Companion Form Realization; 3 Empirical Results; 3.1 Data, Parameter Estimates, and Fitting Performance; 3.2 State Variables; 3.3 Yields Responses; 3.4 Case Studies: Impacts of LSAP, MEP, and QE3 Announcements; 4 Conclusions.
000890155 5058_ $$aAppendix 1: State Variables as the Forward Curve CharacteristicsAppendix 2: Expected Inflation and Short Rate Expectations; References; A New Approach to CIR Short-Term Rates Modelling; 1 Literature Review; 2 Numerical and Empirical Results; 3 Conclusions; References; The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced; 1 Introduction; 2 The MRS-HJM Model with Jumps; 3 No-Arbitrage Drift Condition I; 4 No-Arbitrage Drift Condition II; 5 Conclusion; References; Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Framework; 1 Financial Terminology and Notation.
000890155 5058_ $$a2 Introduction to the Problem3 Affine Jump-Diffusions; 3.1 Exponentially Affine Term Structure; 3.2 The Vasiček Model with Double Exponential Jumps; 4 A Model for the Post-crisis Spot LIBOR; 4.1 V-DEJ/EJ+ Model; 5 Conclusions; References; An Overview of Post-crisis Term Structure Models; 1 Introduction; 2 Post-crisis Interest Markets: Single- Versus Multi-curve Universe; 3 Post-crisis Term Structure Models; 3.1 Short-Rate Models for Multiple Curves; 3.2 Libor Market Models for Multiple Curves; 3.3 Economic Scenario Generators for Term Structures; 4 Conclusion and Outlook; References.
000890155 5058_ $$aA Comparison of Estimation Techniques for the Covariance Matrix in a Fixed-Income Framework1 Introduction; 2 Methodology; 2.1 Notational Conventions; 2.2 Sample Estimator; 2.3 Shrinkage and Nonlinear Shrinkage Estimators; 2.4 Minimum Covariance Determinant and Minimum Regularised Covariance Determinant; 3 Case Study; 3.1 Data Description; 3.2 Results; 4 Conclusion; References; The Term Structure Under Non-linearity Assumptions: New Methods in Time Series; 1 Introduction; 2 The Term Structure and the Expectations Hypothesis of the Term Structure; 3 Evidence by Region; 3.1 The USA.
000890155 5058_ $$a3.2 European Monetary Union4 Time Series Applications of the Term Structure: The FCVAR; 5 Monetary Policy and Controllability of Interest Rates; 6 Conclusions; References; Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Finance; 1 Roadmap and Main Results; 2 Introduction to CIR and BESQ Processes; 2.1 Construction of BESQ Processes; 3 Characterization of Affine Processes; 4 Affine Short Rate Models and Pricing Formulas; 5 BESQ Processes Approach to the Dividend Dynamics Structure; References; New Advances in Fixed Income Management.
000890155 506__ $$aAccess limited to authorized users.
000890155 520__ $$aThis 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 field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.--$$cProvided by publisher.
000890155 588__ $$aOnline resource; title from digital title page (viewed on September 12, 2018).
000890155 650_0 $$aFixed-income securities$$xMathematical models.
000890155 7001_ $$aMili, Mehdi,$$eeditor.
000890155 7001_ $$aMedina, Reyes Samaniego,$$eeditor.
000890155 7001_ $$aDi Pietro, Filippo,$$eeditor.
000890155 77608 $$iPrint version:$$tNew methods in fixed income modeling.$$dCham, Switzerland : Springer, [2018]$$z3319952846$$z9783319952840$$w(OCoLC)1039415566
000890155 830_0 $$aContributions to management science.
000890155 852__ $$bebk
000890155 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-95285-7$$zOnline Access$$91397441.1
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000890155 980__ $$aBIB
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