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Dynamic term structure modeling : the fixed income valuation course

Author: Sanjay K Nawalkha; Natalʹi︠a︡ A Beli︠a︡eva; Gloria M Soto
Publisher: Hoboken, N.J. : John Wiley & Sons, ©2007.
Series: Wiley finance series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Praise for Dynamic Term Structure Modeling. ''This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Nawalkha, Sanjay K.
Dynamic term structure modeling.
Hoboken, N.J. : John Wiley & Sons, ©2007
(DLC) 2006037555
(OCoLC)76871380
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Sanjay K Nawalkha; Natalʹi︠a︡ A Beli︠a︡eva; Gloria M Soto
ISBN: 9781119201571 1119201578 9780470140062 0470140062 1280900296 9781280900297
OCLC Number: 159958312
Description: 1 online resource (xxxvi, 683 pages) : illustrations.
Contents: A simple introduction to continuous-time stochastic processes --
Arbitrage-free valuation --
Valuing interest rate and credit derivatives : basic pricing frameworks --
Fundamental and preference-free single-factor Gaussian models --
Fundamental and preference-free jump-extended Gaussian models --
The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps --
Preference-free CIR and CEV models with jumps --
Fundamental and preference-free two-factor affine models --
Fundamental and preference-free multifactor affine models --
Fundamental and preference-free quadratic models --
The HJM forward rate models --
The LIBOR market model.
Series Title: Wiley finance series.
Responsibility: Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto.

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