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Advanced Fixed-Income Valuation Tools : Frontiers in Finance Series - Narasimhan Jegadeesh

Advanced Fixed-Income Valuation Tools

Frontiers in Finance Series

Hardcover Published: 28th December 1999
ISBN: 9780471254195
Number Of Pages: 414

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Presenting 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.

ADVANCED 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.

ISBN: 9780471254195
ISBN-10: 0471254193
Series: Frontiers in Finance Series
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 414
Published: 28th December 1999
Country of Publication: US
Dimensions (cm): 24.15 x 16.1  x 3.34
Weight (kg): 0.74
Edition Number: 1

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