Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging (Frontiers in Finance Series)

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9780471495024: Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging (Frontiers in Finance Series)

Dynamic methods for interest rate risk pricing and hedging.

Fixed-Income Securities provides a survey of modern methods for pricing and hedging fixed-income securities in the presence of interest rate risk. Modern theory of finance provides a wealth of new approaches to the important question of interest rate risk management, and this book brings them together, in a comprehensive and thorough treatment of the subject.

Structured in an accessible manner, the authors begin by focusing on pricing and hedging certain cash flows, before moving on to consider pricing and hedging uncertain cash flows. In addition to the theoretical explanation, the authors provide numerous real-world examples and applications throughout.

This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners.Darrell Duffie, Stanford University

This is the most comprehensive theoretical treatment of the subject I ve ever seen. Mark Rubinstein, Haas School of Business, University of California

An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area.Oldrich Alfons Vasicek, KMV Corporation

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Back Cover:

Fixed-Income Securities provides a survey of modern methods for pricing and hedging fixed-income securities in the presence of interest rate risk. Modern theory of finance provides a wealth of new approaches to the important question of interest rate risk management, and this book brings them together in a comprehensive and thorough treatment of the subject. Structured in an accessible manner, the authors begin by focusing on pricing and hedging certain cash flows, before moving on to consider pricing and hedging uncertain cash flows. In addition to the theoretical explanation, the authors provide numerous real-world examples and applications throughout. Fixed-Income Securities

  • Provides comprehensive coverage of pricing and hedging fixed-income securities
  • Contains numerous real-world examples and applications
  • Offers an accessible and well-structured exposition of a technically difficult area
Fixed-Income Securities will be of interest to both finance practitioners and students.

"This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield curve modelling. It will be particularly useful to practitioners." Darrell Duffie, Stanford University

"This is the most comprehensive theoretical treatment of the subject I?ve ever seen." Mark Rubinstein, Haas School of Business, University of California

From the Inside Flap:

Fixed-Income Securities is essential reading for those involved with and requiring a detailed understanding of fixed-income securities. Combining theory with an abundance of practical examples and illustrations, this book provides a comprehensive treatment of the subject. The first part of the book is devoted to the question of hedging and pricing certain cash-flows in the presence of interest rate risk. The level of mathematical sophistication involved for a good understanding of that material is relatively limited, and essentially includes basic notions of calculus and statistics. Hence, this first part should be accessible to those with no background in the theory of stochastic processes. The second part of the book is devoted to the question of hedging and pricing uncertain cash-flows, such as cash-flows generated by any fixed-income contingent claim, in the presence of interest rate risk. It involves more sophisticated mathematical tools, especially those borrowed from stochastic calculus, which are introduced in an Appendix. As such, this second part is more suited to students and professionals with exposure to, or at least appetite for, a more quantitative treatment of financial concepts.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2001. Hardback. Condizione libro: New. Language: English . Brand New Book. Dynamic methods for interest rate risk pricing and hedging. Fixed-Income Securities provides a survey of modern methods for pricing and hedging fixed-income securities in the presence of interest rate risk. Modern theory of finance provides a wealth of new approaches to the important question of interest rate risk management, and this book brings them together, in a comprehensive and thorough treatment of the subject. Structured in an accessible manner, the authors begin by focusing on pricing and hedging certain cash flows, before moving on to consider pricing and hedging uncertain cash flows. In addition to the theoretical explanation, the authors provide numerous real-world examples and applications throughout. This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners.Darrell Duffie, Stanford University This is the most comprehensive theoretical treatment of the subject I ve ever seen. Mark Rubinstein, Haas School of Business, University of California An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area.Oldrich Alfons Vasicek, KMV Corporation. Codice libro della libreria AAH9780471495024

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Lionel Martellini, Philippe Priaulet
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2001. Hardback. Condizione libro: New. Language: English . Brand New Book. Dynamic methods for interest rate risk pricing and hedging. Fixed-Income Securities provides a survey of modern methods for pricing and hedging fixed-income securities in the presence of interest rate risk. Modern theory of finance provides a wealth of new approaches to the important question of interest rate risk management, and this book brings them together, in a comprehensive and thorough treatment of the subject. Structured in an accessible manner, the authors begin by focusing on pricing and hedging certain cash flows, before moving on to consider pricing and hedging uncertain cash flows. In addition to the theoretical explanation, the authors provide numerous real-world examples and applications throughout. This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners.Darrell Duffie, Stanford University This is the most comprehensive theoretical treatment of the subject I ve ever seen. Mark Rubinstein, Haas School of Business, University of California An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area.Oldrich Alfons Vasicek, KMV Corporation. Codice libro della libreria AAH9780471495024

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