Advanced fixed-income valuation tools:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
New York [u.a.]
Wiley
2000
|
| Series: | Wiley frontiers in finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 414 S. graph. Darst. |
| ISBN: | 0471254193 9780471254195 |
Staff View
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Record in the Search Index
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| adam_text | Contents
Part I Advanced Fixed-Income Mathematics 1
1 Fixed-Income Subtleties and the Pricing of
Long Bonds 7
Neil D. Pearson
2 Convexity Bias and the Yield Curve 25
Antti Ilmanen
3 Futures vs. Forward Prices: Implications for
Swap Pricing and Derivatives Valuation 58
Mark Grinblatt and Narasimhan Jegadeesh
Part II Term Structure Modeling 81
4 Discrete-Time Models of Bond Pricing 87
David Backus, Silverio Foresi, and Chris Telmer
5 Stochastic Mean Models of the Term Structure of
Interest Rates 128
Pierluigi Balduzzi, Sanjiv Ranjan Das, Silverio Foresi,
and Rangarajan K. Sundaram
xiii
xiv CONTENTS
6 Interest Rate Modeling with Jump-Diffusion
Processes 162
Sanjiv Ranjan Das
Part III Other Risk Factors 191
7 Some Elements of Rating-Based Credit
Risk Modeling 193
David Lando
8 Anatomy of Prepayments: The Salomon Brothers
Prepayment Model 216
Lakhbir Hayre and Arvind Rajan
9 The Pricing and Hedging of Mortgage-Backed
Securities: A Multivariate Density
Estimation Approach 265
Jacob Boudoukh, Matthew Richardson,
Richard Stanton, and Robert F. Whitelaw
10 The Muni Puzzle: Explanations and Implications
for Investors 302
John M.R. Chalmers
11 Models of Currency Option Pricing 320
Gurdip Bakshi and Zhizvu Chen
Part IV Numerical Valuation Techniques 345
12 Exploring the Relation between Discrete-Time
Jump Processes and the Finite
Difference Method 347
Steve Heston and Guofu Zhou
13 Monte Carlo Methods for the Valuation of
Interest Rate Securities 367
Leif Andersen and Phelim P. Boyle
Index 403
|
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| indexdate | 2024-07-10T00:32:50Z |
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| isbn | 0471254193 9780471254195 |
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| physical | XIV, 414 S. graph. Darst. |
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| spelling | Advanced fixed-income valuation tools Narasimhan Jegadeesh ; Bruce Tuckman fixed-income New York [u.a.] Wiley 2000 XIV, 414 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley frontiers in finance Wertpapierkurs (DE-588)4065681-0 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Festverzinsliches Wertpapier (DE-588)4121262-9 s Wertpapierkurs (DE-588)4065681-0 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Jegadeesh, Narasimhan 1956- Sonstige (DE-588)132979810 oth Tuckman, Bruce 1962- Sonstige (DE-588)171126610 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025716527&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Advanced fixed-income valuation tools Wertpapierkurs (DE-588)4065681-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4065681-0 (DE-588)4114528-8 (DE-588)4121262-9 (DE-588)4143413-4 |
| title | Advanced fixed-income valuation tools |
| title_alt | fixed-income |
| title_auth | Advanced fixed-income valuation tools |
| title_exact_search | Advanced fixed-income valuation tools |
| title_full | Advanced fixed-income valuation tools Narasimhan Jegadeesh ; Bruce Tuckman |
| title_fullStr | Advanced fixed-income valuation tools Narasimhan Jegadeesh ; Bruce Tuckman |
| title_full_unstemmed | Advanced fixed-income valuation tools Narasimhan Jegadeesh ; Bruce Tuckman |
| title_short | Advanced fixed-income valuation tools |
| title_sort | advanced fixed income valuation tools |
| topic | Wertpapierkurs (DE-588)4065681-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Wertpapierkurs Mathematisches Modell Festverzinsliches Wertpapier Aufsatzsammlung |
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