Modelling Fixed Income Securities and Interest Rate Options
Published on 1. January 1996
Book
Hardback
256 pages
978-0-07-912253-7 (ISBN)
Description
This text is designed for courses on fixed income securities at the MBA level and graduate level courses in finance. The goal of the text is to provide comprehensive coverage of fixed income instruments and models. A risk management perspective of option theory is presented throughout. The text adopts a non-institutional, binomial approach to fixed income securities based on option pricing technologies, providing cutting-edge theory and technique. While the book is based on the Heath-Jarrow-Morton (HJM) model of interest rate options, discussions also compare and contrast other related models such as the Hall-White model. In addition, traditional techniques of duration and convexity are discussed as these relate to the HJM model. Statistics and algebra are prerequisites.
More details
Language
English
Place of publication
New York
United States
Publishing group
McGraw-Hill Education - Europe
Target group
College/higher education
Professional and scholarly
Illustrations
Illustrations
Dimensions
Height: 230 mm
Width: 157 mm
Weight
5000 gr
ISBN-13
978-0-07-912253-7 (9780079122537)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Book
07/2002
2nd Edition
Stanford University Press
€114.09
Shipment within 15-20 days
Content
Traded securities; the term structure of interest rates; the evolution of the term structure of interest rates; trading strategies, arbitrage opportunities and complete markets; bond trading strategies; contingent claims valuation theory; coupon bonds and options; forwards and futures; swaps, caps, floors, swaptions; interest rate exotics; continuous time limits; parameter estimation; spot rate models; extensions. Part 2 The computer software: trees software; the HJM demonstration software.