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Fixed income modelling / Claus Munk.

By: Munk, Claus
Material type: TextTextPublisher: Oxford ; New York : Oxford University Press, 2015Edition: 1st edDescription: xvi, 556 p. : ill. ; 24 cmISBN: 9780198716440Subject(s): Fixed-income securities -- Econometric models | | BAEPS, Business Administration November2016 December2016DDC classification: 332.632044
Contents:
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.
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Item type Current location Collection Call number Vol info Status Date due Barcode Item holds
Book - Borrowing Book - Borrowing Central Library
First floor
Baccah 332.632044 MUN (Browse shelf) 25846 Available 000045191
Book - Borrowing Book - Borrowing Central Library
First floor
Baccah 332.632044 MUN (Browse shelf) 25846 Available 000045192
Book - Borrowing Book - Borrowing Central Library
First floor
ايمك 332.632044 MUN (Browse shelf) 3398 Available 000040735
Total holds: 0

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.

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