Fixed income modelling

by Munk, Claus

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Title Statements

Full title :Fixed income modelling / Claus Munk.

Edition Statements

Publication Date:2015.

Publication Statements

Publisher(s):Oxford University Press
Place of Publication:Oxford
Language:eng
Publication Date:2015.

The Physical Object

Description:xvi, 556 pages : : illustrations ; : 24 cm

Edition Identifiers

ISBN:9780199575084, 0199575088, 9780198716440, 0198716443
oclc:ocn694395513
LC Classification:HG4650
Dewey Decimal:332.63/2044

Introduction and overview -- Extracting yield curves from bond prices -- Stochastic processes and stochastic calculus -- A review of general asset pricing theory -- The economics of the term structure of interest rates -- Fixed income securities -- One-factor diffusion models -- Multi-factor diffusion models -- Calibration of diffusion models -- Heath-Jarrow-Morton models -- Market models -- The Measurement and management of interest rate risk -- Defaultable bonds and credit derivatives -- Mortgages and Mortgage-backed securities -- Stock and currency derivatives when interest rates are stochastic -- Numerical techniques.