Advanced Fixed-Income Valuation Tools
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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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