# Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM / Edition 1

Dynamic Term Structure Modeling, the second book in the trilogy of the Fixed Income Valuation Course, shows you how to value interest rate derivatives and credit derivatives using a variety of affine, quadratic, HJM, and LIBOR market models. Using a new taxonomy, this book classifies all term structure models as either fundamental models, or preference-free

See more details below

## Overview

Dynamic Term Structure Modeling, the second book in the trilogy of the Fixed Income Valuation Course, shows you how to value interest rate derivatives and credit derivatives using a variety of affine, quadratic, HJM, and LIBOR market models. Using a new taxonomy, this book classifies all term structure models as either fundamental models, or preference-free single-plus, double-plus, and triple-plus models. Filled with in-depth insights and expert advice, this book shows you how to price basic interest rate and credit derivative products, such as Treasury and Eurodollar futures, bond options, interest rate options (e.g., caps, floors, and swaptions), forward rate agreements, interest rate swaps, credit default swaps, credit spread options, and others.

Following an approach that emphasizes basic mathematical rules and heuristic derivations over rigorous theoretical developments and technical proofs, Dynamic Term Structure Modeling makes the technology of valuing fixed income derivatives accessible to both seasoned financial professionals and academics. Whether you're a head of a fixed income quant group, an analyst at a fixed income hedge fund, a manager of a pension fund, or a VP at an insurance company, the intuitive and rigorous understanding of dynamic term structure models is crucial for you to value, hedge, and innovate a variety of fixed income securities and their derivatives.

With intuitive explanations and fully developed examples, Dynamic Term Structure Modeling provides new transforms for building efficient trees under state-dependent volatility models, stochastic volatility models, and jump-diffusion models for pricing American options; and describes fast computational methods, such as the Fourier inversion method (including the FFT) and the cumulant expansion method, for valuing interest rate derivatives and credit derivatives, under a variety of affine, quadratic, and LIBOR market models.

Dynamic Term Structure Modeling is also accompanied by an informative CD-ROM, which contains various Excel®/VBA® spreadsheets that will enhance your understanding of the term structure models outlined throughout these pages. This software allows for the valuation of interest rate derivatives by building interest rate trees for low-dimensional affine models, as well as computing solutions using quasi-analytical formulas for higher-dimensional affine, quadratic, and LIBOR market models. Though most of the programs require coding in advanced scientific languages—such as C and C++—the final output is presented in user-friendly Excel/VBA spreadsheets. This will allow you to instantly work with a variety of term structure models in order to price caps, swaptions, credit default swaps, and many other fixed income derivatives.

For more information on the three books in this course, including demo software and special features, please visit www.fixedincomerisk.com.

## Product Details

ISBN-13:
9780471737148
Publisher:
Wiley
Publication date:
05/04/2007
Series:
Wiley Finance Series, #180
Edition description:
Includes CD-ROM
Pages:
683
Sales rank:
1,134,960
Product dimensions:
6.46(w) x 9.33(h) x 2.27(d)

## Related Subjects

List of Figures.

List of Tables.

CHAPTER 1. A Simple Introduction to Continuous-Time StochasticProcesses.

CHAPTER 2. Arbitrage-Free Valuation.

CHAPTER 3. Valuing Interest Rate and Credit Derivatives: BasicPricing Frameworks.

CHAPTER 4. Fundamental and Preference-Free Single-Factor Gaussian Models.

CHAPTER 5. Fundamental and Preference-Free Jump-ExtendedGaussian Models.

CHAPTER 6. The Fundamental Cox, Ingersoll, and Ross Model withExponential and Lognormal Jumps.

CHAPTER 7. Preference-Free CIR and CEV Models with Jumps.

CHAPTER 8. Fundamental and Preference-Free Two-Factor AffineModels.

CHAPTER 9. Fundamental and Preference-Free Multifactor AffineModels.

CHAPTER 10. Fundamental and Preference-Free QuadraticModels.

CHAPTER 11. The HJM Forward Rate Model.

CHAPTER 12. The LIBOR Market Model.

References.

Index.

## Customer Reviews

Average Review:

Write a Review

and post it to your social network