Advanced Fixed-Income Valuation Tools
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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Advanced FixedIncome Mathematics
FixedIncome Subtleties and the Pricing
Convexity Bias and the Yield Curve
Term Structure Modeling
DiscreteTime Models of Bond Pricing
Stochastic Mean Models of the Term Structure
Other Risk Factors
approximation assume average barbell basis points binomial bond price bond yields bond's cash flows central tendency chapter CIR model compute contract coupon bonds currency option default derivatives discount bond discretization duration Equation estimate Euler Eurodollar example expected return Figure finite difference FNMA Foresi forward rates function futures and forward futures rates Garman-Kohlhagan GNMA hedge impact implied volatility interest rate risk investors Journal of Finance jump process jump-diffusion kurtosis linear loan long rate long-term maturity MBS prices mean method Monte Carlo mortgage rates muni puzzle municipal bonds one-factor option prices parameters Prepayment Model prepayment rate pricing kernel refinancing incentive risk-neutral probabilities rolling yield Salomon Brothers Salomon Brothers Inc sample seasoning securities short rate short-term simulation solution speeds stochastic volatility Table tax-exempt term structure model tion two-factor valuation value of convexity variables variance Vasicek model yield changes yield curve yield volatility zero zero-coupon bond