The Resource Mathematics of the bond market : a Lévy processes approach, Michał Barski, Jerzy Zabczyk
Mathematics of the bond market : a Lévy processes approach, Michał Barski, Jerzy Zabczyk
Resource Information
The item Mathematics of the bond market : a Lévy processes approach, Michał Barski, Jerzy Zabczyk represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Mathematics of the bond market : a Lévy processes approach, Michał Barski, Jerzy Zabczyk represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
- Summary
- "Bonds are financial assets issued by governments, central banks or companies. Their holders receive some fixed payments at future dates. The life time of a bond is specified by its maturity - the date when the nominal value of the bond is paid. All previous payments are called coupons and they are usually fixed as fractions of the nominal value of the bond. The payments received by the holder, although fixed, can, however, be influenced by the credit rating of the issuer. This means that in case of the issuer's bankruptcy the promised payments can be reduced or even canceled"--
- Language
- eng
- Extent
- xvi, 382 pages ; 24cm
- Contents
-
- Elements of the bond market
- Arbitrage-free bond markets
- Completeness
- Stochastic preliminaries
- Lévy processes
- Martingale representation and Girsanov's theorems
- Fundamentals
- Arbitrage-free HJM markets
- Arbitrage-free forward curves models
- Arbitrage-free affine term structure
- Completeness
- Stochastic equations for forward rates
- Analysis of the HJMM equation
- Analysis of Morton's equation
- Analysis of the Morton-Musiela equation
- Isbn
- 9781107101296
- Label
- Mathematics of the bond market : a Lévy processes approach
- Title
- Mathematics of the bond market
- Title remainder
- a Lévy processes approach
- Statement of responsibility
- Michał Barski, Jerzy Zabczyk
- Language
- eng
- Summary
- "Bonds are financial assets issued by governments, central banks or companies. Their holders receive some fixed payments at future dates. The life time of a bond is specified by its maturity - the date when the nominal value of the bond is paid. All previous payments are called coupons and they are usually fixed as fractions of the nominal value of the bond. The payments received by the holder, although fixed, can, however, be influenced by the credit rating of the issuer. This means that in case of the issuer's bankruptcy the promised payments can be reduced or even canceled"--
- Assigning source
- Provided by publisher
- http://library.link/vocab/creatorName
- Barski, Michał
- Dewey number
- 332.642
- Index
- index present
- Literary form
- non fiction
- Nature of contents
- bibliography
- http://library.link/vocab/relatedWorkOrContributorName
- Zabczyk, Jerzy
- Series statement
- Encyclopedia of mathematics and its applications
- http://library.link/vocab/subjectName
-
- Bond market
- Finance
- Lévy processes
- Label
- Mathematics of the bond market : a Lévy processes approach, Michał Barski, Jerzy Zabczyk
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- Elements of the bond market -- Arbitrage-free bond markets -- Completeness -- Stochastic preliminaries -- Lévy processes -- Martingale representation and Girsanov's theorems -- Fundamentals -- Arbitrage-free HJM markets -- Arbitrage-free forward curves models -- Arbitrage-free affine term structure -- Completeness -- Stochastic equations for forward rates -- Analysis of the HJMM equation -- Analysis of Morton's equation -- Analysis of the Morton-Musiela equation
- Control code
- on1149282200
- Extent
- xvi, 382 pages ; 24cm
- Isbn
- 9781107101296
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- System control number
- (OCoLC)1149282200
- Label
- Mathematics of the bond market : a Lévy processes approach, Michał Barski, Jerzy Zabczyk
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- Elements of the bond market -- Arbitrage-free bond markets -- Completeness -- Stochastic preliminaries -- Lévy processes -- Martingale representation and Girsanov's theorems -- Fundamentals -- Arbitrage-free HJM markets -- Arbitrage-free forward curves models -- Arbitrage-free affine term structure -- Completeness -- Stochastic equations for forward rates -- Analysis of the HJMM equation -- Analysis of Morton's equation -- Analysis of the Morton-Musiela equation
- Control code
- on1149282200
- Extent
- xvi, 382 pages ; 24cm
- Isbn
- 9781107101296
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- System control number
- (OCoLC)1149282200
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Mathematics-of-the-bond-market--a-L%C3%A9vy-processes/G3tBF3bImbA/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Mathematics-of-the-bond-market--a-L%C3%A9vy-processes/G3tBF3bImbA/">Mathematics of the bond market : a Lévy processes approach, Michał Barski, Jerzy Zabczyk</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Mathematics-of-the-bond-market--a-L%C3%A9vy-processes/G3tBF3bImbA/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Mathematics-of-the-bond-market--a-L%C3%A9vy-processes/G3tBF3bImbA/">Mathematics of the bond market : a Lévy processes approach, Michał Barski, Jerzy Zabczyk</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
