This document provides an introduction to fixed income term structures and financial instruments. It begins with a quick mathematical introduction that covers risk neutral measures, Girsanov's theorem, and pricing formulas. The main body of the document then focuses on the stochastic approach to modeling term structures. It discusses various interest rates, stochastic discount factors, and financial instruments like FRAs, interest rate swaps, caps and floors. It also covers the expectation hypothesis and Heath-Jarrow-Morton framework for modeling term structures.
15. 参考文献
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? [Xie.S, etc] Aggregated Residual Transformations for Deep
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WSDM2018読み会15