Fixed income modelling
by Munk, Claus
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
Read More ↓Title Statements
- Full title :Fixed income modelling / by Claus Munk
Summary
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
Read More ↓Edition Statements
- Publication Date:2011
Publication Statements
- Publisher(s):Oxford University Press
- Place of Publication:Oxford
- Language:und
- Publication Date:2011
The Physical Object
- Description:xvi, 556 p. : : illustrations ; : 24 cm
Edition Identifiers
- ISBN:9780199575084, 0199575088
- oclc:ocn769413373
- LC Classification:HG4650
- Dewey Decimal:332.632044
Table of Contents
Preface; 1. Introduction and overview; 2. Extracting Yield Curves from Bond Prices; 3. Stochastic Processes and Stochastic Calculus; 4. A Review of Genera Asset Pricing Theory; 5. The Economics of the Term Structure of Interest Rates 6. Fixed Income Securities; 7. One-factor Diffusion Models; 8. Multi-factor Diffusion Models; 9. Calibration of Diffusion Models; 10. Heath-Jarrow-Morton Models; 11. Market models; 12. The Measurement and Management of Interest Rate Risk; 13. Defaultable Bonds and Credit Derivatives; 14. Mortgages and Mortgage-backed Securities; 15. Stock and Currency Derivatives when Interest Rates are Stochastic; 16. Numerical Techniques; Appendix: Results on the Lognormal Distribution
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