Transcription of Interest Rate Models - Department Mathematik
{{id}} {{{paragraph}}}
Example: bankruptcy
Interest Rate Models - Department Mathematik
Interest Rate ModelsDamir Filipovi cUniversity of Munich2 Contents1 Introduction72 Interest rates and Related Zero-Coupon Bonds .. Interest rates .. Market Example: LIBOR .. Simple vs. Continuous Compounding .. Forward vs. Future rates .. Bank Account and Short rates .. Coupon Bonds, Swaps and Yields .. Fixed Coupon Bonds .. Floating Rate Notes .. Interest Rate Swaps .. Yield and Duration .. Market Conventions .. Day-count Conventions .. Coupon Bonds .. Accrued Interest , Clean Price and Dirty Price .. Yield-to-Maturity .. Caps and Floors .. Swaptions .. 293 Statistics of the Yield Principal Component Analysis (PCA) .. PCA of the Yield Curve .. Correlation .. 3634 CONTENTS4 Estimating the Yield A Bootstrapping Example .. General Case .. Bond Markets .. Money Markets .. Problems .. Parametrized Curve Families .. 495 Why Yield Curve Models ?
8 CHAPTER 1. INTRODUCTION JW[12]: James–Webber (00) [12]. An encyclopedic treatment of interest rates and their related financial derivatives.
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document: