Dynamic Term Structure Modeling: The Fixed Income Valuation Course
John Wiley & Sons, May 23, 2007 - Business & Economics - 640 pages
Praise for Dynamic Term Structure Modeling
"This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike."
--Sanjiv Ranjan Das
Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives
"Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point."
--Nassim Nicholas Taleb
author, Dynamic Hedging and The Black Swan
"Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models."
Associate Professor of Finance, UC Berkeley
"The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation."
--Thomas S. Y. Ho, PHD
President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
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About the Authors
List of Figures
List of Tables
Chapter 1 A Simple Introduction to ContinuousTime Stochastic Processes
Chapter 6 The Fundamental Cox Ingersoll and Ross Model with Exponential and Lognormal Jumps
Chapter 7 PreferenceFree CIR and CEV Models with Jumps
Chapter 8 Fundamental and PreferenceFree TwoFactor Affine Models
Chapter 9 Fundamental and PreferenceFree Multifactor Affine Models
Chapter 10 Fundamental and PreferenceFree Quadratic Models
Chapter 11 The HJM Forward Rate Model
Chapter 12 The LIBOR Market Model
Chapter 2 ArbitrageFree Valuation
Chapter 3 Valuing Interest Rate and Credit Derivatives Basic Pricing Frameworks
Chapter 4 Fundamental and PreferenceFree SingleFactor Gaussian Models
Chapter 5 Fundamental and PreferenceFree JumpExtended Gaussian Models
Other editions - View all
afﬁne models allow analytical solutions ATSMs Black implied boundary conditions call option caplet cash ﬂows Chapter CIR model CIR+ CIR++ model computed convexity bias correlation coupon bond credit default swaps credit derivatives default-free deﬁned in equation deﬁnition discounted double-plus dZ(t expiration date factor Figure ﬁnd ﬁrm ﬁrst ﬁt ﬁxed ﬂoating formulas forward measure forward rate volatility fundamental futures contract futures price Gaussian given as follows given in equation Hence implied volatilities inﬁnity initial interest rate derivatives interest rate swap Ito’s lemma jump-diffusion jumps LIBOR martingale model given MPRs negative node numeraire obtained preference-free probability measure QTSMs risk-neutral expectation risk-neutral measure risk-neutral parameters risk-neutral process short rate process short-rate signiﬁcantly simple AM(N single-plus solved speciﬁcation stochastic process stochastic volatility swaptions term structure models time-homogeneous trinomial tree two-factor valuation Vasicek model volatility function Wiener processes zero zero-coupon bond zero-coupon bond maturing zero-coupon bond prices