Dynamic Term Structure Modeling
The Fixed Income Valuation Course
Published on 4. June 2007
Book
Hardback
684 pages
978-0-471-73714-8 (ISBN)
Description
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 framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models."
--Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
--Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
More details
Series
Language
English
Place of publication
New York
United States
Publishing group
John Wiley and Sons Ltd
Target group
Professional and scholarly
Illustrations
Illustrations
Dimensions
Height: 234 mm
Width: 163 mm
Thickness: 55 mm
Weight
1014 gr
ISBN-13
978-0-471-73714-8 (9780471737148)
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Schweitzer Classification
Persons
Sanjay K. Nawalkha, PhD, is an Associate Professor of Finance at the Isenberg School of Management, University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, and is the President and founder of Nawalkha and Associates-a fixed income training and consulting firm. Natalia A.Beliaeva, PhD, is an Assistant Professor of Finance at the Sawyer Business School, Suffolk University, Boston. She also holds a master's degree in computer science (artificial intelligence) from the University of Massachusetts Amherst. Dr. Beliaeva's expertise is in the area of applied numerical methods for pricing fixed income derivatives. Gloria M.Soto, PhD, is a Professor of Applied Economics and Finance at the University of Murcia, Spain, where she teaches courses in financial markets and institutions and applied economics. Dr. Soto has published extensively in both Spanish and international journals in finance and economics, especially in the areas of interest rate risk management and related fixed income topics.
Content
List of Figures. List of Tables. CHAPTER 1. A Simple Introduction to Continuous-Time Stochastic Processes. CHAPTER 2. Arbitrage-Free Valuation. CHAPTER 3. Valuing Interest Rate and Credit Derivatives: Basic Pricing Frameworks. CHAPTER 4. Fundamental and Preference-Free Single-Factor Gaussian Models. CHAPTER 5. Fundamental and Preference-Free Jump-Extended Gaussian Models. CHAPTER 6. The Fundamental Cox, Ingersoll, and Ross Model with Exponential and Lognormal Jumps. CHAPTER 7. Preference-Free CIR and CEV Models with Jumps. CHAPTER 8. Fundamental and Preference-Free Two-Factor Affine Models. CHAPTER 9. Fundamental and Preference-Free Multifactor Affine Models. CHAPTER 10. Fundamental and Preference-Free Quadratic Models. CHAPTER 11. The HJM Forward Rate Model. CHAPTER 12. The LIBOR Market Model. References. About the CD-ROM. Index.