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- 000 02147cam a2200385 a 4500
- 008 061119s2007 njua b 001 0 eng
- 020 __ |a 9780471737148 (cloth/cd-rom)
- 020 __ |a 0471737143 (cloth/cd-rom)
- 035 __ |a (OCoLC)76871380
- 040 __ |a DLC |c DLC |d BAKER |d BTCTA |d UKM |d C#P |d YDXCP |d NLGGC |d MUQ
- 050 00 |a HG101 |b .N39 2007
- 082 00 |a 332.01/51923 |2 22
- 100 1_ |a Nawalkha, Sanjay K.
- 245 10 |a Dynamic term structure modeling : |b the fixed income valuation course / |c Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto.
- 260 __ |a Hoboken, N.J. : |b John Wiley & Sons, |c c2007.
- 300 __ |a xxxvi, 683 p. : |b ill. ; |c 24 cm. + |e 1 CD-ROM (4 3/4 in.)
- 504 __ |a Includes bibliographical references (p. 647-657) and index.
- 505 0_ |a A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model.
- 650 _0 |a Stochastic processes.
- 700 1_ |a Beliaeva, Natalia A. |q (Natalia Anatolevna), |d 1975-
- 700 1_ |a Soto, Gloria M.
- 830 _0 |a Wiley finance series.
- 856 41 |3 Table of contents only |u http://www.loc.gov/catdir/toc/ecip075/2006037555.html
- 856 42 |3 Publisher description |u http://www.loc.gov/catdir/enhancements/fy0740/2006037555-d.html
- 856 42 |3 Contributor biographical information |u http://www.loc.gov/catdir/enhancements/fy0740/2006037555-b.html