Description

Book Synopsis
The pricing and hedging of fixed-income securities is technically more complicated than the pricing and hedging of equity instruments. The wide assortment of fixed-income products have different coupon structures, amortization, and fixed and/or floating rates.

Trade Review
"This is the first book I have seen to carefully cover such a wideset of topics in both theoretical and applied fixed-incomemodelling, ranging from the use of market information to obtainyield curves, to the pricing and hedging of bonds and fixed-incomederivatives, to the currently active topic of defaultableyield-curve modelling. It will be particularly useful topractitioners." - Darrell Duffie, Stanford University
"This is the most comprehensive theoretical treatment of thesubject I've ever seen." - Mark Rubinstein, Haas School ofBusiness, University of California
"An excellent review of interest rate models and of the pricingand hedging principles in the fixed-income area. " - Oldrich AlfonsVasicek, KMV Corporation

Table of Contents
Introduction.

Acknowledgments.

Standard Notation.

PRICING AND HEDGING CERTAIN CASH-FLOWS

Deriving the Current Zero-Coupon Rate Curve.

Basic Assets Pricing and Hedging.

PRICING AND HEDGING UNCERTAIN CASH-FLOWS.

Modelling the Zero-Coupon Yield Curve Dynamics.

Pricing and Hedging Fixed-Income Derivatives.

MATHEMATICAL APPENDICES.

Appendix A: An Introduction to Stochastic Processes in ContinuousTime.

Appendix B: Numerical Methods.

References.

Index.

Fixed Income Securities Dynamic Methods for

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      Book details

      Publisher John Wiley & Sons Inc
      Published 29 November 2000
      ISBN-13 9780471495024
      978-0471495024
      ISBN-10 0471495026
      Also in:
      Finance and accounting

      Description

      Book Synopsis
      The pricing and hedging of fixed-income securities is technically more complicated than the pricing and hedging of equity instruments. The wide assortment of fixed-income products have different coupon structures, amortization, and fixed and/or floating rates.

      Trade Review
      "This is the first book I have seen to carefully cover such a wideset of topics in both theoretical and applied fixed-incomemodelling, ranging from the use of market information to obtainyield curves, to the pricing and hedging of bonds and fixed-incomederivatives, to the currently active topic of defaultableyield-curve modelling. It will be particularly useful topractitioners." - Darrell Duffie, Stanford University
      "This is the most comprehensive theoretical treatment of thesubject I've ever seen." - Mark Rubinstein, Haas School ofBusiness, University of California
      "An excellent review of interest rate models and of the pricingand hedging principles in the fixed-income area. " - Oldrich AlfonsVasicek, KMV Corporation

      Table of Contents
      Introduction.

      Acknowledgments.

      Standard Notation.

      PRICING AND HEDGING CERTAIN CASH-FLOWS

      Deriving the Current Zero-Coupon Rate Curve.

      Basic Assets Pricing and Hedging.

      PRICING AND HEDGING UNCERTAIN CASH-FLOWS.

      Modelling the Zero-Coupon Yield Curve Dynamics.

      Pricing and Hedging Fixed-Income Derivatives.

      MATHEMATICAL APPENDICES.

      Appendix A: An Introduction to Stochastic Processes in ContinuousTime.

      Appendix B: Numerical Methods.

      References.

      Index.

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