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Fixed income modelling /

Munk, Claus.

Fixed income modelling / Claus Munk. - 1st ed. - Oxford ; New York : Oxford University Press, 2015. - xvi, 556 p. : ill. ; 24 cm.

Index : p. [553]-556.

Bibliography : p. 535-551.

Introduction and overview -- Extracting yield curves from bond prices -- Stochastic processes and stochastic calculus -- A review of general asset pricing theory -- The economics of the term structure of interest rates -- Fixed income securities -- One-factor diffusion models -- Multi-factor diffusion models -- Calibration of diffusion models -- Heath-Jarrow-Morton models -- Market models -- The Measurement and management of interest rate risk -- Defaultable bonds and credit derivatives -- Mortgages and Mortgage-backed securities -- Stock and currency derivatives when interest rates are stochastic -- Numerical techniques.

9780198716440


Fixed-income securities--Econometric models.





332.632044 / MUN