Advanced Fixed-Income Valuation Tools / Edition 1
  • Advanced Fixed-Income Valuation Tools / Edition 1
  • Advanced Fixed-Income Valuation Tools / Edition 1
  • Advanced Fixed-Income Valuation Tools / Edition 1
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Advanced Fixed-Income Valuation Tools / Edition 1

by Narasimhan Jegadeesh, Bruce Tuckman
     
 

ISBN-10: 0471254193

ISBN-13: 9780471254195

Pub. Date: 12/28/1999

Publisher: Wiley

In response to intense competition and higher market volatility, players in the fixed-income market now demand increasingly sophisticated valuation tools. Until recently, a basic understanding of duration and convexity or the ability to use simple, one-factor term structure models was enough to distinguish one from the crowd. Now, this knowledge is practically de

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Overview

In response to intense competition and higher market volatility, players in the fixed-income market now demand increasingly sophisticated valuation tools. Until recently, a basic understanding of duration and convexity or the ability to use simple, one-factor term structure models was enough to distinguish one from the crowd. Now, this knowledge is practically de rigueur. Cutting-edge players today need a deep understanding of how convexity and risk premia affect bond yields and returns; of how multi-factor term structure models can improve hedging performance; and of how to improve the accuracy and efficiency of Monte Carlo analysis, etc. This book brings together contributions from twenty-four finance professionals and academics from top investment banks, consulting firms, and universities. Going well beyond the basics, Advanced Fixed-Income Valuation Tools brings the reader some of the most advanced thinking in the field. Topics covered in this book include:

• The effects of convexity and risk premia on bond yields, forward and future rates, and expected returns

• The similarities and differences among term structure models

• Multi-factor models and models with jumps

• Modeling credit risk

• Prepayment modeling and MBS pricing

• The Muni-Treasury spread

• Foreign currency options

• Efficient numerical valuation techniques
Advanced Fixed-Income Valuation Tools arms the reader with the knowledge and tools needed to succeed in the competitive and rapidly evolving field of quantitative fixed-income investing and trading.

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Product Details

ISBN-13:
9780471254195
Publisher:
Wiley
Publication date:
12/28/1999
Series:
Frontiers in Finance Series, #61
Pages:
414
Product dimensions:
6.34(w) x 9.51(h) x 1.31(d)

Related Subjects

Table of Contents

ADVANCED FIXED-INCOME MATHEMATICS.

Fixed-Income Subtleties and the Pricing of Long Bonds (N. Pearson).

Convexity Bias and the Yield Curve (A. Ilmanen).

Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation (M. Grinblatt & N. Jegadeesh).

TERM STRUCTURE MODELING.

Discrete-Time Models of Bond Pricing (D. Backus, et al.).

Stochastic Mean Models of the Term Structure of Interest Rates (P. Balduzzi, et al.).

Interest Rate Modeling with Jump-Diffusion Processes (S. Das).

OTHER RISK FACTORS.

Some Elements of Rating-Based Credit Risk Modeling (D. Lando).

Anatomy of Prepayments: The Salomon Brothers Prepayment Model (L. Hayre & A. Rajan).

The Pricing and Hedging of Mortgage-Backed Securities: A Multivariate Density Estimation Approach (J. Boudoukh, et al.).

The Muni Puzzle: Explanations and Implications for Investors (J. Chalmers).

Models of Currency Option Pricing (G. Bakshi & Z. Chen).

NUMERICAL VALUATION TECHNIQUES.

Exploring the Relation between Discrete-Time Jump Processes and the Finite Difference Method (S. Heston & G. Zhou).

Monte Carlo Methods for the Valuation of Interest Rate Securities (L. Andersen & P. Boyle).

Index.

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