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Fixed income modelling / Claus Munk.

By: Material type: TextPublication 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
Cover image Item type Current library Home library Collection Shelving location Call number Materials specified Vol info URL Copy number Status Notes Date due Barcode Item holds Item hold queue priority Course reserves
Book - Borrowing Central Library First floor Baccah 332.632044 MUN (Browse shelf(Opens below)) 25846 Available 000045191
Book - Borrowing Central Library First floor Baccah 332.632044 MUN (Browse shelf(Opens below)) 25846 Available 000045192
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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