Modelling fixed income securities and interest rate options
Author(s)
Bibliographic Information
Modelling fixed income securities and interest rate options
（McGraw-Hill series in finance）
McGraw-Hill, c1996
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Note
Includes bibliographical references and index
Description and Table of Contents
Description
This text is designed for courses on fixed income securities at the MBA level and graduate level courses in finance. The goal of the text is to provide comprehensive coverage of fixed income instruments and models. A risk management perspective of option theory is presented throughout. The text adopts a non-institutional, binomial approach to fixed income securities based on option pricing technologies, providing cutting-edge theory and technique. While the book is based on the Heath-Jarrow-Morton (HJM) model of interest rate options, discussions also compare and contrast other related models such as the Hall-White model. In addition, traditional techniques of duration and convexity are discussed as these relate to the HJM model. Statistics and algebra are prerequisites.
Table of Contents
- Traded securities
- the term structure of interest rates
- the evolution of the term structure of interest rates
- trading strategies, arbitrage opportunities and complete markets
- bond trading strategies
- contingent claims valuation theory
- coupon bonds and options
- forwards and futures
- swaps, caps, floors, swaptions
- interest rate exotics
- continuous time limits
- parameter estimation
- spot rate models
- extensions. Part 2 The computer software: trees software
- the HJM demonstration software.
by "Nielsen BookData"
