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Fixed income modelling / Claus Munk.

By: Material type: TextTextPublication details: Oxford ; New York : Oxford University Press, 2015.Edition: 1st edDescription: xvi, 556 p. : ill. ; 24 cmISBN:
  • 9780198716440
Subject(s): DDC classification:
  • 332.632044 22 MUN
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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Holdings
Item type Current library 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(Opens below)) 25846 Available 000045191
Book - Borrowing Book - Borrowing Central Library First floor Baccah 332.632044 MUN (Browse shelf(Opens below)) 25846 Available 000045192
Book - Borrowing Book - Borrowing Central Library First floor ايمك 332.632044 MUN (Browse shelf(Opens below)) 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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