About this product

Product Identifiers

PublisherOxford University Press, Incorporated

ISBN-100198716443

ISBN-139780198716440

eBay Product ID (ePID)202783869

Product Key Features

Number of Pages576 Pages

Publication NameFixed Income Modelling

LanguageEnglish

SubjectEconomics / General, Investments & Securities / General

Publication Year2015

TypeTextbook

Subject AreaBusiness & Economics

AuthorClaus Munk

FormatTrade Paperback

Dimensions

Item Height1.2 in

Item Weight30.2 Oz

Item Length9.2 in

Item Width7.2 in

Additional Product Features

Intended AudienceScholarly & Professional

LCCN2011-929415

ReviewsI enjoyed reading the book. Claus Munk manages to present many demanding topics in a very clear and understandable way. The book is well suited as a textbook on fixed income for advanced finance students. I also recommend reading to researchers and finance professionals., 'I enjoyed reading the book. Claus Munk manages to present many demanding topics in a very clear and understandable way. The book is well suited as a textbook on fixed income for advanced finance students. I also recommend reading to researchers and finance professionals. 'Antje Mahayni, Journal of Economics October 2012, Volume 107, Issue 2, pp 195-197

Dewey Edition22

IllustratedYes

Dewey Decimal332.632044

Table Of ContentPreface1. Introduction and overview2. Extracting Yield Curves from Bond Prices3. Stochastic Processes and Stochastic Calculus4. A Review of General Asset Pricing Theory5. The Economics of the Term Structure of Interest Rates6. Fixed Income Securities7. One-factor Diffusion Models8. Multi-factor Diffusion Models9. Calibration of Diffusion Models10. Heath-Jarrow-Morton Models11. Market models12. The Measurement and Management of Interest Rate Risk13. Defaultable Bonds and Credit Derivatives14. Mortgages and Mortgage-backed Securities15. Stock and Currency Derivatives when Interest Rates are Stochastic16. Numerical TechniquesAppendix: Results on the Lognormal Distribution

SynopsisFixed Income Modelling offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. It explains the basic fixed income securities and their properties and uses as well as the relations between those securities. The book presents and compares the classical affine models, Heath-Jarrow-Morton models, and LIBOR market models, and demonstrates how to apply those models for the pricing of various widely traded fixed income securities. It offers a balanced presentation with both formal mathematical modelling and economic intuition and understanding. The book has a number of distinctive features including a thorough and accessible introduction to stochastic processes and the stochastic calculus needed for the modern financial modelling approach used in the book, as well as a separate chapter that explains how the term structure of interest rates relates to macro-economic variables and to what extent the concrete interest rate models are founded in general economic theory. The book focuses on the most widely used models and the main fixed income securities, instead of trying to cover all the many specialized models and the countless exotic real-life products. The in-depth explanation of the main pricing principles, techniques, and models as well as their application to the most important types of securities will enable the reader to understand and apply other models and price other securities. The book includes chapters on interest rate risk management, credit risk, mortgage-backed securities, and relevant numerical techniques. Each chapter concludes with a number of exercises of varying complexity. Suitable for MSc students specializing in finance and economics, quantitatively oriented MBA students, and first- or second-year PhD students, this book will also be a useful reference for researchers and finance professionals and can be used in specialized courses on fixed income or broader courses on derivatives., A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.

LC Classification NumberHG4650