FIXED INCOME MODELLING P
(Sprache: Englisch)
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...
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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.
Inhaltsverzeichnis zu „FIXED INCOME MODELLING P “
Preface; 1 Introduction and overview; 2 Extracting Yield Curves from Bond Prices; 3 Stochastic Processes and Stochastic Calculus; 4 A Review of General Asset Pricing Theory; 5 The Economics of the Term Structure of Interest Rates; 6 Fixed Income Securities; 7 One-factor Diffusion Models; 8 Multi-factor Diffusion Models; 9 Calibration of Diffusion Models; 10 Heath-Jarrow-Morton Models; 11 Market models; 12 The Measurement and Management of Interest Rate Risk; 13 Defaultable Bonds and Credit Derivatives; 14 Mortgages and Mortgage-backed Securities; 15 Stock and Currency Derivatives when Interest Rates are Stochastic; 16 Numerical Techniques; Appendix: Results on the Lognormal Distribution
Autoren-Porträt von Munk
Munk, Claus
Bibliographische Angaben
- Autor: Munk
- 2016, 574 Seiten, Maße: 15,6 x 23,4 cm, Kartoniert (TB), Englisch
- Verlag: Oxford University Press(UK)
- ISBN-10: 0198716443
- ISBN-13: 9780198716440
- Erscheinungsdatum: 27.01.2016
Sprache:
Englisch
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