Advanced Fixed-Income Valuation Tools

ADVANCED FIXED-INCOME MATHEMATICS.
 
Fixed-Income Subtleties and the Pricing of Long Bonds (N. Pearson).
 
Convexity Bias and the Yield Curve (A. Ilmanen).
 
Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation (M. Grinblatt & N. Jegadeesh).
 
TERM STRUCTURE MODELING.
 
Discrete-Time Models of Bond Pricing (D. Backus, et al.).
 
Stochastic Mean Models of the Term Structure of Interest Rates (P. Balduzzi, et al.).
 
Interest Rate Modeling with Jump-Diffusion Processes (S. Das).
 
OTHER RISK FACTORS.
 
Some Elements of Rating-Based Credit Risk Modeling (D. Lando).
 
Anatomy of Prepayments: The Salomon Brothers Prepayment Model (L. Hayre & A. Rajan).
 
The Pricing and Hedging of Mortgage-Backed Securities: A Multivariate Density Estimation Approach (J. Boudoukh, et al.).
 
The Muni Puzzle: Explanations and Implications for Investors (J. Chalmers).
 
Models of Currency Option Pricing (G. Bakshi & Z. Chen).
 
NUMERICAL VALUATION TECHNIQUES.
 
Exploring the Relation between Discrete-Time Jump Processes and the Finite Difference Method (S. Heston & G. Zhou).
 
Monte Carlo Methods for the Valuation of Interest Rate Securities (L. Andersen & P. Boyle).
 
Index.

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.
BRUCE 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.