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pdf文件，英文原版，2009年出版 作者：Damir Filipovic Changing interest rates constitute one of the major risk sources forbanks, insurance companies, and other financial institutions. Modelingthe term-structure movements of interest rates is a challenging task.This volume gives an introduction to the mathematics of term-structuremodels in continuous time. It includes practical aspects forfixed-income markets such as day-count conventions, duration ofcoupon-paying bonds and yield curve construction; arbitrage theory;short-rate models; the Heath-Jarrow-Morton methodology; consistentterm-structure parametrizations; affine diffusion processes and optionpricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorousdevelopment of the theory. Students, researchers and practitioners willfind this volume very useful. Each chapter ends with a set ofexercises, that provides source for homework and exam questions.Readers are expected to be familiar with elementary It? calculus, basicprobability theory, and real and complex analysis.