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Fixed income modelling

Author: Claus Munk
Publisher: Oxford : Oxford University Press, 2015(2011)
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
Fixed Income Modelling offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. It explains the basic fixed income securities and their properties and uses as well as the relations between those securities. The book presents and compares the classical affine models, Heath-Jarrow-Morton models, and LIBOR market models, and
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Details

Document Type: Book
All Authors / Contributors: Claus Munk
ISBN: 9780198716440 0198716443 9780199575084 0199575088
OCLC Number: 905571800
Notes: A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities
Description: 556 s
Contents: Preface ; 1. Introduction and overview ; 2. Extracting Yield Curves from Bond Prices ; 3. Stochastic Processes and Stochastic Calculus ; 4. A Review of General Asset Pricing Theory ; 5. The Economics of the Term Structure of Interest Rates ; 6. Fixed Income Securities ; 7. One-factor Diffusion Models ; 8. Multi-factor Diffusion Models ; 9. Calibration of Diffusion Models ; 10. Heath-Jarrow-Morton Models ; 11. Market models ; 12. The Measurement and Management of Interest Rate Risk ; 13. Defaultable Bonds and Credit Derivatives ; 14. Mortgages and Mortgage-backed Securities ; 15. Stock and Currency Derivatives when Interest Rates are Stochastic ; 16. Numerical Techniques ; Appendix: Results on the Lognormal Distribution

Abstract:

A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and  Read more...

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I enjoyed reading the book. Claus Munk manages to present many demanding topics in a very clear and understandable way. The book is well suited as a textbook on fixed income for advanced finance Read more...

 
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