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  • A Graduate Course
    Damir Filipovic
    978-3-540-68015-4
    2009
    Edition 1
    • First graduate textbook that covers topics ranging from fixed-income market conventions, the estimation and statistics (PCA) of the yield curve, arbitrage theory, short-rate models, the Heath-Jarrow-Morton methodology (including a derivation of Fubini’s Theorem for stochastic integrals), LIBOR market models, credit-risk, and the special chapters on consistent term structure parameterizations and affine processes
    • All chapters end with a set of exercises, which provides the source for homework and exam questions
    €419 €377
    10% OFF

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