Description
Book SynopsisThe 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 ContentsIntroduction.
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.
