Fixed-income securities : dynamic methods for interest rate risk pricing and hedging

著者

    • Martellini, Lionel
    • Priaulet, Philippe

書誌事項

Fixed-income securities : dynamic methods for interest rate risk pricing and hedging

Lionel Martellini and Philippe Priaulet

（Wiley frontiers in finance）

Wiley, c2001

大学図書館所蔵 件 / 全9件

この図書・雑誌をさがす

注記

Includes bibliographical references and index

内容説明・目次

内容説明

Dynamic methods for interest rate risk pricing and hedging. Fixed-Income Securities provides a survey of modern methods forpricing and hedging fixed-income securities in the presence ofinterest rate risk. Modern theory of finance provides a wealth ofnew approaches to the important question of interest rate riskmanagement, and this book brings them together, in a comprehensiveand thorough treatment of the subject. Structured in an accessible manner, the authors begin by focusingon pricing and hedging certain cash flows, before moving on toconsider pricing and hedging uncertain cash flows. In addition tothe theoretical explanation, the authors provide numerousreal-world examples and applications throughout. This is the first book I have seen to carefully cover such a wideset of topics in both theoretical and applied fixed-incomemodelling, ranging from the use of market information to obtainyield curves, to the pricing and hedging of bonds and fixed-incomederivatives, to the currently active topic of defaultableyield-curve modelling. It will be particularly useful topractitioners.Darrell Duffie, Stanford University This is the most comprehensive theoretical treatment of thesubject I ve ever seen. Mark Rubinstein, Haas School of Business,University of California An excellent review of interest rate models and of the pricing andhedging principles in the fixed-income area.Oldrich Alfons Vasicek,KMV Corporation

目次

Introduction. Acknowledgments. Standard Notation. PRICING AND HEDGING CERTAIN CASH-FLOWS Deriving the Current Zero-Coupon Rate Curve. Basic Assets Pricing and Hedging. PRICING AND HEDGING UNCERTAIN CASH-FLOWS. Modelling the Zero-Coupon Yield Curve Dynamics. Pricing and Hedging Fixed-Income Derivatives. MATHEMATICAL APPENDICES. Appendix A: An Introduction to Stochastic Processes in ContinuousTime. Appendix B: Numerical Methods. References. Index.

「Nielsen BookData」 より

関連文献： 1件中  1-1を表示

詳細情報

ページトップへ