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9780471254195

Advanced Fixed-Income Valuation Tools

by ;
  • ISBN13:

    9780471254195

  • ISBN10:

    0471254193

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 1999-12-28
  • Publisher: Wiley

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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

Supplemental Materials

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.

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