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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 probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
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## Reviews

*Editorial reviews*

Publisher Synopsis

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 students. I also recommend reading to researchers and finance professionals. * Antje Mahayni, Journal of Economics October 2012, Volume 107, Issue 2, pp 195-197 * Read more...

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