Fixed income modelling

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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.

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Title Statements

Full title :Fixed income modelling / Claus Munk.

Summary

Edition Statements

Publication Date:2011.

Publication Statements

Publisher(s):Oxford University Press
Place of Publication:Oxford
Language:eng
Publication Date:2011.

The Physical Object

Description:1 online resource (xvi, 556 pages) : : illustrations

Edition Identifiers

ISBN:9780191617843, 0191617849, 9780191728648, 0191728640
oclc:ocn755747230
LC Classification:HG4650
Dewey Decimal:332.632044

""Cover""; ""Contents""; ""List of Figures""; ""List of Tables""; ""1 Introduction and Overview""; ""1.1 What is fixed income analysis?""; ""1.2 Basic bond market terminology""; ""1.3 Bond markets and money markets""; ""1.4 Fixed income derivatives""; ""1.5 An overview of the book""; ""1.6 Exercises""; ""2 Extracting Yield Curves from Bond Prices""; ""2.1 Introduction""; ""2.2 Bootstrapping""; ""2.3 Cubic splines""; ""2.4 The Nelsonâ€?Siegel parametrization""; ""2.5 Additional remarks on yield curve estimation""; ""2.6 Exercises""; ""3 Stochastic Processes and Stochastic Calculus""

""3.1 Introduction""""3.2 What is a stochastic process?""; ""3.3 Brownian motions""; ""3.4 Diffusion processes""; ""3.5 ItÃ? processes""; ""3.6 Stochastic integrals""; ""3.7 ItÃ?â€?s Lemma""; ""3.8 Important diffusion processes""; ""3.9 Multi-dimensional processes""; ""3.10 Change of probability measure""; ""3.11 Exercises""; ""4 A Review of General Asset PricingTheory""; ""4.1 Introduction""; ""4.2 Assets, trading strategies, and arbitrage""; ""4.3 State-price deflators, risk-neutral probabilities, and market prices of risk""; ""4.4 Other useful probability measures""

""4.5 Complete vs. incomplete ma…