Fixed income modelling:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford [u.a.]
Oxford Univ. Press
2011
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Hier auch später erschienene, unveränderte Nachdrucke Includes bibliographical references (p. [535]-551) and index |
| Physical Description: | XVI, 556 S. graph. Darst. 24 cm |
| ISBN: | 9780199575084 9780198716440 |
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Record in the Search Index
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| adam_text | Titel: Fixed income modelling
Autor: Munk, Claus
Jahr: 2011
Contents
List of Figures xiii
List of Tables xv
1 Introduction and Overview 1
1.1 What is fixed income analysis? 1
1.2 Basic bond market terminology 2
1.3 Bond markets and money markets 12
1.4 Fixed income derivatives 18
1.5 An overview of the book 21
1.6 Exercises 23
2 Extracting Yield Curves from Bond Prices 25
2.1 Introduction 25
2.2 Bootstrapping 26
2.3 Cubic splines 29
2.4 The Nelson-Siegel parametrization 33
2.5 Additional remarks on yield curve estimation 36
2.6 Exercises 37
3 Stochastic Processes and Stochastic Calculus 38
3.1 Introduction 38
3.2 What is a stochastic process? 39
3.3 Brownian motions 47
3.4 Diffusion processes 52
3.5 Ito processes 53
3.6 Stochastic integrals 54
3.7 Ito s Lemma 58
3.8 Important diffusion processes 59
3.9 Multi-dimensional processes 68
3.10 Change of probability measure 76
3.11 Exercises 80
4 A Review of General Asset Pricing Theory 82
4.1 Introduction 82
4.2 Assets, trading strategies, and arbitrage 84
4.3 State-price deflators, risk-neutral probabilities, and market prices of risk 88
4.4 Other useful probability measures 97
4.5 Complete vs. incomplete markets 100
4.6 Equilibrium and representative agents in complete markets 102
4.7 Extension to intermediate dividends 104
4.8 Diffusion models and the fundamental partial differential equation 106
4.9 Concluding remarks 114
4.10 Exercises 115
5 The Economics of the Term Structure of Interest Rates 116
5.1 Introduction 116
5.2 Real interest rates and aggregate consumption 117
5.3 Real interest rates and aggregate production 122
5.4 Equilibrium term structure models 125
5.5 Real and nominal interest rates and term structures 128
5.6 The expectation hypothesis 140
5.7 Liquidity preference, market segmentation, and preferred habitats 145
5.8 Concluding remarks 146
5.9 Exercises 147
6 Fixed Income Securities 150
6.1 Introduction 150
6.2 Forwards and futures 151
6.3 European options 158
6.4 Caps, floors, and collars 163
6.5 Swaps and swaptions 169
6.6 American-style derivatives 178
6.7 An overview of term structure models 180
6.8 Exercises 182
7 One-Factor Diffusion Models 184
7.1 Introduction 184
7.2 Affine models 185
7.3 Mertons model 196
7.4 Vasicek s model 200
7.5 The Cox-Ingersoll-Ross model 214
7.6 Generalized affine models 220
7.7 Non-affine models 221
7.8 Parameter estimation and empirical tests 224
7.9 Concluding remarks 228
7.10 Exercises 229
8 Multi-Factor Diffusion Models 231
8.1 Introduction 231
8.2 The general multi-factor setting 234
8.3 Affine multi-factor models 236
8.4 Two-factor affine diffusion models 243
8.5 Three-factor affine models 252
8.6 Generalized affine models 255
8.7 Other multi-factor diffusion models 257
8.8 Final remarks 261
8.9 Exercises 262
9 Calibration of Diffusion Models 264
9.1 Introduction 264
9.2 Time-inhomogeneous affine models 265
9.3 The Ho-Lee model (extended Merton) 267
9.4 The Hull-White model (extended Vasicek) 269
9.5 The extended CIR model 273
9.6 Calibration to other market data 274
9.7 Initial and future term structures in calibrated models 275
9.8 Calibrated non-affine models 277
9.9 Is a calibrated one-factor model just as good as a multi-factor model? 278
9.10 Final remarks 280
9.11 Exercises 280
10 Heath-Jarrow-Morton Models 281
10.1 Introduction 281
10.2 Basic assumptions 281
10.3 Bond price dynamics and the drift restriction 283
10.4 Three well-known special cases 285
10.5 Gaussian HJM models 289
10.6 Diffusion representations of HJM models 292
10.7 HJM models with forward-rate dependent volatilities 298
10.8 HJM models with unspanned stochastic volatility 299
10.9 Concluding remarks 299
10.10 Exercises 300
11 Market Models 303
11.1 Introduction 303
11.2 General LIBOR market models 304
11.3 The lognormal LIBOR market model 312
11.4 Alternative LIBOR market models 316
11.5 Swap market models 318
11.6 Further remarks 321
11.7 Exercises 321
12 The Measurement and Management of Interest Rate Risk 323
12.1 Introduction 323
12.2 Traditional measures of interest rate risk 323
12.3 Risk measures in one-factor diffusion models 328
12.4 Immunization 335
12.5 Risk measures in multi-factor diffusion models 342
12.6 Duration-based pricing of options on bonds 346
12.7 Alternative measures of interest rate risk 351
12.8 Exercises 354
13 Defaultable Bonds and Credit Derivatives 355
13.1 Introduction 355
13.2 Some basic concepts, relations, and practical issues 357
13.3 Structural models 368
13.4 Reduced-form models 384
13.5 Hybrid models 401
13.6 Copulas 402
13.7 Markets for credit derivatives 407
13.8 Credit default swaps (CDSs) 410
13.9 Collateralized debt obligations (CDOs) 415
13.10 Concluding remarks 418
13.11 Exercises 420
14 Mortgages and Mortgage-backed Securities 422
14.1 Introduction 422
14.2 Mortgages 423
14.3 Mortgage-backed bonds 429
14.4 The prepayment option 430
14.5 Rational prepayment models 433
14.6 Empirical prepayment models 445
14.7 Risk measures for mortgage-backed bonds 448
14.8 Other mortgage-backed securities 448
14.9 The subprime crisis 450
14.10 Concluding remarks 452
14.11 Exercises 453
15 Stock and Currency Derivatives When Interest Rates are Stochastic 454
15.1 Introduction 454
15.2 Stock options 454
15.3 Options on forwards and futures 460
15.4 Currency derivatives 464
15.5 Final remarks 470
15.6 Exercises 471
16 Numerical Techniques 472
16.1 Introduction 472
16.2 Numerical solution of PDEs 474
16.3 Monte Carlo simulation 492
16.4 Approximating trees 517
16.5 Concluding remarks 527
16.6 Exercises 528
Appendix A: Results on the Lognormal Distribution 532
References 535
Index 553
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| language | English |
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| spelling | Munk, Claus 1969- Verfasser (DE-588)171696832 aut Fixed income modelling Claus Munk Oxford [u.a.] Oxford Univ. Press 2011 XVI, 556 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Includes bibliographical references (p. [535]-551) and index Ökonometrisches Modell Fixed-income securities Econometric models Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Modellierung (DE-588)4170297-9 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 s Modellierung (DE-588)4170297-9 s Bewertung (DE-588)4006340-9 s Risikomanagement (DE-588)4121590-4 s b DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024663614&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Munk, Claus 1969- Fixed income modelling Ökonometrisches Modell Fixed-income securities Econometric models Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Modellierung (DE-588)4170297-9 gnd Bewertung (DE-588)4006340-9 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4121262-9 (DE-588)4170297-9 (DE-588)4006340-9 (DE-588)4121590-4 |
| title | Fixed income modelling |
| title_auth | Fixed income modelling |
| title_exact_search | Fixed income modelling |
| title_full | Fixed income modelling Claus Munk |
| title_fullStr | Fixed income modelling Claus Munk |
| title_full_unstemmed | Fixed income modelling Claus Munk |
| title_short | Fixed income modelling |
| title_sort | fixed income modelling |
| topic | Ökonometrisches Modell Fixed-income securities Econometric models Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Modellierung (DE-588)4170297-9 gnd Bewertung (DE-588)4006340-9 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Ökonometrisches Modell Fixed-income securities Econometric models Festverzinsliches Wertpapier Modellierung Bewertung Risikomanagement |
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