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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:   Print book : CD for computer : Document   Computer File : EnglishView all editions and formats
Summary:
"Dynamic Term Structure Modeling, the second book in the trilogy of the Fixed Income Valuation Course, shows you how to value interest rate derivatives and credit derivatives using a variety of affine, quadratic, HJM, and LIBOR market models. Using a new taxonomy, this book classifies all term structure models as either fundamental models, or preference-free single-plus, double-plus, and triple-plus models. Filled  Read more...
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Material Type: Document, Internet resource
Document Type: Book, Computer File, Internet Resource
All Authors / Contributors: Sanjay K Nawalkha; Natalʹi︠a︡ A Beli︠a︡eva; Gloria M Soto
ISBN: 9780471737148 0471737143
OCLC Number: 76871380
Description: xxxvi, 683 pages : illustrations ; 24 cm + 1 CD-ROM (4 3/4 in.).
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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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  Read more...

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