Advanced fixed-income valuation tools
Author(s)
Bibliographic Information
Advanced fixed-income valuation tools
(Wiley frontiers in finance)
Wiley, c2000
Available at 11 libraries
  Aomori
  Iwate
  Miyagi
  Akita
  Yamagata
  Fukushima
  Ibaraki
  Tochigi
  Gunma
  Saitama
  Chiba
  Tokyo
  Kanagawa
  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
  Mie
  Shiga
  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
  Thailand
  United Kingdom
  Germany
  Switzerland
  France
  Belgium
  Netherlands
  Sweden
  Norway
  United States of America
Note
Includes references and index
Description and Table of Contents
Description
Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds.
Table of Contents
ADVANCED FIXED-INCOME MATHEMATICS.
Fixed-Income Subtleties and the Pricing of Long Bonds (N. Pearson).
Convexity Bias and the Yield Curve (A. Ilmanen).
Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation (M. Grinblatt & N. Jegadeesh).
TERM STRUCTURE MODELING.
Discrete-Time Models of Bond Pricing (D. Backus, et al.).
Stochastic Mean Models of the Term Structure of Interest Rates (P. Balduzzi, et al.).
Interest Rate Modeling with Jump-Diffusion Processes (S. Das).
OTHER RISK FACTORS.
Some Elements of Rating-Based Credit Risk Modeling (D. Lando).
Anatomy of Prepayments: The Salomon Brothers Prepayment Model (L. Hayre & A. Rajan).
The Pricing and Hedging of Mortgage-Backed Securities: A Multivariate Density Estimation Approach (J. Boudoukh, et al.).
The Muni Puzzle: Explanations and Implications for Investors (J. Chalmers).
Models of Currency Option Pricing (G. Bakshi & Z. Chen).
NUMERICAL VALUATION TECHNIQUES.
Exploring the Relation between Discrete-Time Jump Processes and the Finite Difference Method (S. Heston & G. Zhou).
Monte Carlo Methods for the Valuation of Interest Rate Securities (L. Andersen & P. Boyle).
Index.
by "Nielsen BookData"