Advanced Fixed-Income Valuation Tools

Front Cover
John Wiley & Sons, 2000 - Business & Economics - 414 pages
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Traditionally, fixed-income securities promised fixed cash flows. But in the past few years, there have been many newly created levels of interest rates, making them more difficult to value. Covering the most advanced thinking in the field of how to value the new fixed-income securities, this book examines the subtleties of fixed-income mathematics, new approaches to modelling term structures, and fixed-income valuation as it applies to credit risk, mortgages, munis, and indexed bonds. Featuring fixed-income securities for which the promised cash flow depends on the contributions from leading experts in academia and finance, this book focuses on fixed-income securities valuation models and techniques, as well as their applications.
 

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Contents

Advanced FixedIncome Mathematics
1
FixedIncome Subtleties and the Pricing
7
Convexity Bias and the Yield Curve
25
Implications
58
Term Structure Modeling
81
DiscreteTime Models of Bond Pricing
87
Stochastic Mean Models of the Term Structure
128
Processes
162
The Salomon Brothers
216
The Pricing and Hedging of MortgageBacked
265
Explanations and Implications
302
Models of Currency Option Pricing
320
Numerical Valuation Techniques
345
Monte Carlo Methods for the Valuation
367
Index
403
Copyright

Other Risk Factors
191

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About the author (2000)

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.

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