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Вспомогательные методы в экономике. Словари Вспомогательные методы в экономике. Словари
Информационные технологии в экономике Информационные технологии в экономике


A Fractional Heath-Jarrow-Morton Approach for Interest Rate Markets. Interest Rate Modelling in Theory with Applications in Practice

Автор:   Patrick P. H.
мягкая обложка
104 страниц
2010 год
Издательство:   Книга по Требованию
1920 руб
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Описание:The fractional approach is much more sophisticated than the classical case which is why Patrick P. Hargutt covers complexities like the no-arbitrage theory in detail. In this book the author Patrick P. Hargutt introduces several interest-rate models whereas he focuses on the very general Heath-Jarrow-Morton model, which models forward rates. Many different approaches have been tested to capture interest rate movements with varying objectives, for instance the pricing of interest rate derivatives. In turn the author will provide simulations for bond prices and a comparison to the classical case of the model and to other interest-rate models. Interest-rate modelling is a very complex task that has been intensified over the years. This book aims both at quantitative trading desks, portfolio managers and at academic researchers in mathematical finance and their students. Therefore this book starts with the necessary mathematical preliminaries. In order to achieve a better fit of the model to historic data this book deals in particular with the more complex fractional approach which incorporates a fractional Brownian motion.

Orthomol Immun Junior Сила иммунитета на страже Вашего ребенка Orthomol Immun Junior Сила иммунитета на страже Вашего ребенка

2990 руб
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The history of Rome. Book V

The solid Italian husbandry obtained at this period, when the general development of intelligence and abundance of capital rendered it fruitful, far more brilliant results than ever the old system of small cultivators could have given; and was carried even already beyond the bounds of Italy, for the Italian agriculturist turned to account large tracts in the provinces by rearing cattle and even cultivating corn. Money-Dealing In order to show what dimensions money-dealing assumed by the side of this estate-husbandry unnaturally prospering over the ruin of the small farmers, how the Italian merchants vying with the Jews poured themselves into all the provinces and client-states of the empire, and how all capital ultimately flowed to Rome, it will be sufficient, after what has been already said, to point to the single fact that in the money-market of the capital the regular rate of interest at this time was six per cent, and consequently money there was cheaper by a half than it was on an average elsewhere in antiquity ...»

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