Advanced Fixed-Income Valuation Tools

Front Cover
John Wiley & Sons, 2000 - Business & Economics - 414 pages
0 Reviews
Fixed-income subtleties and the pricing of long bonds / Neil D. Pearson -- Convexity bias and the yield curve / Antti Ilmanen -- Futures vs. forward prices : implications for swap pricing and derivatives valuation / Mark Grinblatt and Narasimhan Jegadeesh -- Discrete-time models of bond pricing / David Backus, Silverio Foresi, and Chris Telmer -- Stochastic mean models of the term structure of interest rates / Pierluigi Balduzzi ... [et al.] -- Interest rate modeling with jump-diffusion processes / Sanjiv Ranjan Das -- Some elements of rating-based credit risk modeling / David Lando -- Anatomy of prepayments : the Salomon Brothers prepayment model / Lakhbir Hayre and Arvind Rajan -- The pricing and hedging of mortgage-backed securities : a multivariate density estimation approach / Jacob Boudoukh ... [et al.] -- The Muni puzzle : explanations and implications for investors / John M.R. Chalmers -- Models of currency option pricing / Gurdip Bakshi and Zhiwu Chen -- Exploring the relation between discrete-time jump processes and the finite difference method / Steve Heston and Guofu Zhou -- Monte Carlo methods for the valuation of interest rate securities / Leif Andersen and Phelim P. Boyle.
 

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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

Common terms and phrases

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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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