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001			296295
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008			150903s2009 gw | o |||| 0|eng d
020			_a9783540680154 _99783540680154
024	7		_a10.1007/9783540680154 _2doi
035			_avtls000349910
039		9	_a201509030457 _bVLOAD _c201405050348 _dVLOAD _y201402071214 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aHB135-147
100	1		_aFilipovic, Damir. _eautor _9331249
245	1	0	_aTerm-Structure Models : _bA Graduate Course / _cby Damir Filipovic.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2009.
300			_axii, 256 páginas _brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aSpringer Finance
500			_aSpringer eBooks
505	0		_aInterest Rates and Related Contracts -- Estimating the Term-Structure -- Arbitrage Theory -- Short-Rate Models -- Heath–Jarrow–Morton (HJM) Methodology -- Forward Measures -- Forwards and Futures -- Consistent Term-Structure Parametrizations -- Affine Processes -- Market Models -- Default Risk.
520			_aChanging interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9783540097266
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-540-68015-4 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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999			_c296295 _d296295