Fixed Income Modelling
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Product details:
- Publisher OUP Oxford
- Date of Publication 19 February 2015
- ISBN 9780198716440
- Binding Paperback
- No. of pages576 pages
- Size 234x182x29 mm
- Weight 856 g
- Language English
- Illustrations 40 Figures and 24 Tables 0
Categories
Short description:
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.
MoreLong description:
Fixed 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.
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.
Table of Contents:
Preface
Introduction and overview
Extracting Yield Curves from Bond Prices
Stochastic Processes and Stochastic Calculus
A Review of General Asset Pricing Theory
The Economics of the Term Structure of Interest Rates
Fixed Income Securities
One-factor Diffusion Models
Multi-factor Diffusion Models
Calibration of Diffusion Models
Heath-Jarrow-Morton Models
Market models
The Measurement and Management of Interest Rate Risk
Defaultable Bonds and Credit Derivatives
Mortgages and Mortgage-backed Securities
Stock and Currency Derivatives when Interest Rates are Stochastic
Numerical Techniques
Appendix: Results on the Lognormal Distribution
