A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply modelsbased on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities. INDICE: Preface; 1: Introduction and overview; 2: Extracting Yield Curves from Bond Prices; 3: Stochastic Processes and Stochastic Calculus; 4: A Reviewof General Asset Pricing Theory; 5: The Economics of the Term Structure of Interest Rates; 6: Fixed Income Securities; 7: One-factor Diffusion Models; 8: Multi-factor Diffusion Models; 9: Calibration of Diffusion Models; 10: Heath-Jarrow-Morton Models; 11: Market models; 12: The Measurement and Management of Interest Rate Risk; 13: Defaultable Bonds and Credit Derivatives; 14: Mortgagesand Mortgage-backed Securities; 15: Stock and Currency Derivatives when Interest Rates are Stochastic; 16: Numerical Techniques; Appendix: Results on the Lognormal Distribution
- ISBN: 978-0-19-957508-4
- Editorial: Oxford University
- Encuadernacion: Cartoné
- Páginas: 512
- Fecha Publicación: 01/05/2011
- Nº Volúmenes: 1
- Idioma: Inglés