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Contenido

Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds

   INDICE: ADVANCED FIXED-INCOME MATHEMATICS. Fixed-Income Subtleties and thePricing of Long Bonds (N. Pearson). Convexity Bias and the Yield Curve (A. Ilmanen). Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation (M. Grinblatt & N. Jegadeesh). TERM STRUCTURE MODELING. Discrete-Time Models of Bond Pricing (D. Backus, et al.). Stochastic Mean Models of the Term Structure of Interest Rates (P. Balduzzi, et al.). Interest Rate Modeling with Jump-Diffusion Processes (S. Das). OTHER RISK FACTORS. Some Elements of Rating-Based Credit Risk Modeling (D. Lando). Anatomy of Prepayments: The Salomon Brothers Prepayment Model (L. Hayre & A. Rajan). The Pricing and Hedging of Mortgage-Backed Securities: A Multivariate Density Estimation Approach (J. Boudoukh, et al.). The Muni Puzzle: Explanations and Implications for Investors (J. Chalmers). Models of Currency Option Pricing (G. Bakshi & Z. Chen). NUMERICAL VALUATION TECHNIQUES. Exploring the Relation between Discrete-Time Jump Processes and the Finite Difference Method (S. Heston & G. Zhou). Monte Carlo Methods for the Valuation of Interest Rate Securities (L. Andersen & P. Boyle). Index.

Detalles del artículo

• Páginas : 414
• Editorial : John Wiley
• Idioma : Inglés
• Fecha de Publicación : 01/01/2000
• ISBN: 9780471254195
• Encuadernación : Tela
• Nº Volúmenes : 1
• País de Publicación : Reino Unido (INGLATERRA)