Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM

by Sanjay K. Nawalkha; Gloria M. Soto; Natalia A. Beliaeva

• ISBN13: 9780470140062
• ISBN10: 0470140062
• Format: eBook
• Copyright: 2007-07-01
• Publisher: Wiley

Summary

Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." -Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." -Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." -Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." -Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

Table of Contents

List of Figures

List of Tables

A Simple Introduction to Continuous-Time Stochastic Processes

Arbitrage-Free Valuation

Valuing Interest Rate and Credit Derivatives: Basic Pricing Frameworks

Fundamental and Preference-Free Single-Factor Gaussian Models

Fundamental and Preference-Free Jump-Extended Gaussian Models

The Fundamental Cox, Ingersoll, and Ross Model with Exponential and Lognormal Jumps

Preference-Free CIR and CEV Models with Jumps

Fundamental and Preference-Free Two-Factor Affine Models

Fundamental and Preference-Free Multifactor Affine Models

Fundamental and Preference-Free Quadratic Models

The HJM Forward Rate Model

The LIBOR Market Model

References

About the CD-ROM

Index

Table of Contents provided by Publisher. All Rights Reserved.