Coverart for item
The Resource Dynamic term structure modeling : the fixed income valuation course, Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto

Dynamic term structure modeling : the fixed income valuation course, Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto

Label
Dynamic term structure modeling : the fixed income valuation course
Title
Dynamic term structure modeling
Title remainder
the fixed income valuation course
Statement of responsibility
Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto
Creator
Contributor
Subject
Language
eng
Member of
Cataloging source
DLC
Dewey number
332.01/51923
Illustrations
illustrations
Index
index present
LC call number
HG101
LC item number
.N39 2007
Literary form
non fiction
Nature of contents
bibliography
Series statement
Wiley finance
Label
Dynamic term structure modeling : the fixed income valuation course, Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto
Instantiates
Publication
Accompanying material
1 CD-ROM (4 3/4 in.).
Bibliography note
Includes bibliographical references (p. 647-657) and index
Carrier category
volume
Carrier MARC source
rdacarrier
Content category
text
Content type MARC source
rdacontent
Contents
A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model
Dimensions
24 cm. +
Extent
xxxvi, 683 p.
Isbn
9780471737148
Isbn Type
(cloth/cd-rom)
Lccn
2006037555
Media category
unmediated
Media MARC source
rdamedia
Other physical details
ill.
System control number
  • MARS
  • (OCoLC)ocn376798644
Label
Dynamic term structure modeling : the fixed income valuation course, Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto
Publication
Accompanying material
1 CD-ROM (4 3/4 in.).
Bibliography note
Includes bibliographical references (p. 647-657) and index
Carrier category
volume
Carrier MARC source
rdacarrier
Content category
text
Content type MARC source
rdacontent
Contents
A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model
Dimensions
24 cm. +
Extent
xxxvi, 683 p.
Isbn
9780471737148
Isbn Type
(cloth/cd-rom)
Lccn
2006037555
Media category
unmediated
Media MARC source
rdamedia
Other physical details
ill.
System control number
  • MARS
  • (OCoLC)ocn376798644

Library Locations

    • Harold B. Lee Library Brigham Young University, Provo, UT, 84602, US
      40.249156 -111.649242
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