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
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