Coverart for item
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

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
Creator
Contributor
Author
Subject
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
Instantiates
Publication
Copyright
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
Publication
Copyright
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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