利率模型
作 者: René Carmona, Michael Tehranchi 著
定 价: 39
出 版 社: 世界图书出版公司
出版日期: 2013年01月01日
页 数: 235
装 帧: 平装
ISBN: 9787510052774
●Part Ⅰ The Term Structure of Interest Rates
● Data and Instruments of the Term Structure of Interest Rates
● 1.1 Time Value of Money and Zero Coupon Bonds
● 1.1.1 Treasury Bills
● 1.1.2 Discount Factors and Interest Rates
● 1.2 Coupon Bearing Bonds
● 1.2.1 Treasury Notes and Treasury Bonds
● 1.2.2 The STRIPS Program
● 1.2.3 Clean Prices
● 1.3 Term Structure as Given by Curves
● 1.3.1 The Spot (Zero Coupon) Yield Curve
● 1.3.2 The Forward Rats Curve and Duration
● 1.3.3 Swap Rate Curves
● 1.4 Continuous Compounding and Market Conventions
● 1.4.1 Day Count Conventions
● 1.4.2 Compounding Conventions
● 1.4.3 Summary
● 1.5 Related Markets
● 1.5.1 Municipal Bonds
● 1.5.2 Indsx Linked Bonds......
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