Praise for Dynamic Term Structure Modeling
"This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike."
--Sanjiv Ranjan Das
Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives
"Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point."
--Nassim Nicholas Taleb
author, Dynamic Hedging and The Black Swan
"Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models."
Associate Professor of Finance, UC Berkeley
"The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation."
--Thomas S. Y. Ho, PHD
President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
"Sinopsis" puede pertenecer a otra edición de este libro.
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.About the Author:
Sanjay K. Nawalkha, PhD, is an Associate Professor of Finance at the Isenberg School of Management, University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, and is the President and founder of Nawalkha and Associates—a fixed income training and consulting firm.
Natalia A.Beliaeva, PhD, is an Assistant Professor of Finance at the Sawyer Business School, Suffolk University, Boston. She also holds a master's degree in computer science (artificial intelligence) from the University of Massachusetts Amherst. Dr. Beliaeva's expertise is in the area of applied numerical methods for pricing fixed income derivatives.
Gloria M.Soto, PhD, is a Professor of Applied Economics and Finance at the University of Murcia, Spain, where she teaches courses in financial markets and institutions and applied economics. Dr. Soto has published extensively in both Spanish and international journals in finance and economics, especially in the areas of interest rate risk management and related fixed income topics.
"Sobre este título" puede pertenecer a otra edición de este libro.
Descripción Wiley, 2007. Hardcover. Estado de conservación: New. Nº de ref. de la librería P110471737143
Descripción Wiley, 2007. Hardcover. Estado de conservación: New. Nº de ref. de la librería DADAX0471737143
Descripción Wiley, 2007. Hardcover. Estado de conservación: New. Nº de ref. de la librería SONG0471737143