Titlebook: New Methods in Fixed Income Modeling; Fixed Income Modelin Mehdi Mili,Reyes Samaniego Medina,Filippo di Pietr Book 2018 Springer Internatio

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The Market and Individual Pricing Kernels Under No Arbitrage Asset Pricing Modelsto value any financial contract whose payoff is dependent on the prices from the NAAPM. Consequently, an individual would raise her lifetime utility by buying the assets which she prices higher than the financial market.

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Book 2018field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management..

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1431-1941 fixed income investments that have created new market risks.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 instrume

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The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Pricedons, which take into account the pricing of both the regime-switching and jump risks, are derived in two situations. The first situation starts with a risk-neutral measure while the second situation starts with the real-world measure.

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Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Frameworking, in our setting, the so called OIS short-rate. Such an analysis is based on the intensity approach, where large and sudden movements can be modeled by adding marked point processes to the classical diffusion interest rate framework. Rigorous computations are also provided according with appropriate assumptions on the jumps intensity shape.