Advanced Fixed-Income Valuation Tools

by Jegadeesh, Narasimhan; Tuckman, Bruce

• ISBN13: 9780471254195
• ISBN10: 0471254193
• Edition: 1st
• Format: Hardcover
• Copyright: 1999-12-28
• Publisher: Wiley

Summary

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.

Author Biography

NARASIMHAN JEGADEESH, PhD, is the Harry A. Brandt Distinguished Professor of Finance at the University of Illinois at Urbana-Champaign. He was formerly a member of the faculty at the University of California at Los Angeles and he received his PhD in finance from Columbia University. Professor Jegadeesh has been published extensively in the Journal of Finance, the Journal of Financial Economics, and other leading financial journals. He serves on the editorial board of the Journal of Securities Market. He is also an investment consultant for the hedge funds managed by Arbitrade Holdings LLC.<br> <br> TUCKMAN, PhD, is Managing Director and Global Head of Relative Value Modeling at Credit Suisse First Boston. After receiving his doctorate in economics from MIT, he became a professor of finance at New York University's Stern School of Business and a visiting professor at UCLA's Anderson School. He began his Wall Street career at Salomon Brothers' Fixed Income Proprietary Trading Group.

Table of Contents

Part I Advanced Fixed-Income Mathematics	1	(81)
Fixed-Income Subtleties and the Pricing of Long Bonds	7	(18)
Neil D. Pearson
Convexity Bias and the Yield Curve	25	(33)
Antti Ilmanen
Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation	58	(23)
Mark Grinblatt
Narasimhan Jegadeesh
Part II Term Structure Modeling	81	(110)
Discrete-Time Models of Bond Pricing	87	(41)
David Backus
Silverio Foresi
Chris Telmer
Stochastic Mean Models of the Term Structure of Interest Rates	128	(34)
Pierluigi Balduzzi
Sanjiv Ranjan Das
Silverio Foresi
Rangarajan K. Sundaram
Interest Rate Modeling with Jump-Diffusion Processes	162	(29)
Sanjiv Ranjan Das
Part III Other Risk Factors	191	(154)
Some Elements of Rating-Based Credit Risk Modeling	193	(23)
David Lando
Anatomy of Prepayments: The Salomon Brothers Prepayment Model	216	(49)
Lakhbir Hayre
Arvind Rajan
The Pricing and Hedging of Mortgage-Backed Securities: A Multivariate Density Estimation Approach	265	(37)
Jacob Boudoukh
Matthew Richardson
Richard Stanton
Robert F. Whitelaw
The Muni Puzzle: Explanations and Implications for Investors	302	(18)
John M.R. Chalmers
Models of Currency Option Pricing	320	(25)
Gurdip Bakshi
Zhiwu Chen
Part IV Numerical Valuation Techniques	345	(58)
Exploring the Relation between Discrete-Time Jump Processes and the Finite Difference Method	347	(20)
Steve Heston
Guofu Zhou
Monte Carlo Methods for the Valuation of Interest Rate Securities	367	(36)
Leif Andersen
Phelim P. Boyle
Index	403