Description
Book SynopsisPresenting 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.
Table of ContentsADVANCED FIXED-INCOME MATHEMATICS.
Fixed-Income Subtleties and the Pricing 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.
