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New methods in fixed income modeling : fixed income modeling

Author: Mehdi Mili; Reyes Samaniego Medina; Filippo Di Pietro
Publisher: Cham, Switzerland : Springer, [2018]
Series: Contributions to management science.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
New methods in fixed income modeling.
Cham, Switzerland : Springer, [2018]
(OCoLC)1039415566
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mehdi Mili; Reyes Samaniego Medina; Filippo Di Pietro
ISBN: 9783319952857 3319952854
OCLC Number: 1049150274
Description: 1 online resource
Contents: Intro; Preface; Scientific Committee; Contents; New Term Structure Modeling Approaches; Term Structure, Market Expectations of the Short Rate, and Expected Inflation; 1 Introduction; 2 A New Usage of the Classic Model; 2.1 Instantaneous Forward Rate; 2.2 Volatility Term Structure and Markov Representation; 2.3 A Closer Look at the Companion Form Realization; 3 Empirical Results; 3.1 Data, Parameter Estimates, and Fitting Performance; 3.2 State Variables; 3.3 Yields Responses; 3.4 Case Studies: Impacts of LSAP, MEP, and QE3 Announcements; 4 Conclusions. Appendix 1: State Variables as the Forward Curve CharacteristicsAppendix 2: Expected Inflation and Short Rate Expectations; References; A New Approach to CIR Short-Term Rates Modelling; 1 Literature Review; 2 Numerical and Empirical Results; 3 Conclusions; References; The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced; 1 Introduction; 2 The MRS-HJM Model with Jumps; 3 No-Arbitrage Drift Condition I; 4 No-Arbitrage Drift Condition II; 5 Conclusion; References; Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Framework; 1 Financial Terminology and Notation. 2 Introduction to the Problem3 Affine Jump-Diffusions; 3.1 Exponentially Affine Term Structure; 3.2 The Vasiček Model with Double Exponential Jumps; 4 A Model for the Post-crisis Spot LIBOR; 4.1 V-DEJ/EJ+ Model; 5 Conclusions; References; An Overview of Post-crisis Term Structure Models; 1 Introduction; 2 Post-crisis Interest Markets: Single- Versus Multi-curve Universe; 3 Post-crisis Term Structure Models; 3.1 Short-Rate Models for Multiple Curves; 3.2 Libor Market Models for Multiple Curves; 3.3 Economic Scenario Generators for Term Structures; 4 Conclusion and Outlook; References. A Comparison of Estimation Techniques for the Covariance Matrix in a Fixed-Income Framework1 Introduction; 2 Methodology; 2.1 Notational Conventions; 2.2 Sample Estimator; 2.3 Shrinkage and Nonlinear Shrinkage Estimators; 2.4 Minimum Covariance Determinant and Minimum Regularised Covariance Determinant; 3 Case Study; 3.1 Data Description; 3.2 Results; 4 Conclusion; References; The Term Structure Under Non-linearity Assumptions: New Methods in Time Series; 1 Introduction; 2 The Term Structure and the Expectations Hypothesis of the Term Structure; 3 Evidence by Region; 3.1 The USA. 3.2 European Monetary Union4 Time Series Applications of the Term Structure: The FCVAR; 5 Monetary Policy and Controllability of Interest Rates; 6 Conclusions; References; Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Finance; 1 Roadmap and Main Results; 2 Introduction to CIR and BESQ Processes; 2.1 Construction of BESQ Processes; 3 Characterization of Affine Processes; 4 Affine Short Rate Models and Pricing Formulas; 5 BESQ Processes Approach to the Dividend Dynamics Structure; References; New Advances in Fixed Income Management.
Series Title: Contributions to management science.
Responsibility: Mehdi Mili, Reyes Samaniego Medina, Filippo di Pietro, editors.

Abstract:

Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in  Read more...

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