Fixed Income Modelling

Paperback | February 27, 2015

byClaus Munk

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Fixed Income Modelling offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. It explains the basic fixed income securities and their properties and uses as well as the relations between thosesecurities. The book presents and compares the classical affine models, Heath-Jarrow-Morton models, and LIBOR market models, and demonstrates how to apply those models for the pricing of various widely traded fixed income securities. It offers a balanced presentation with both formal mathematicalmodelling and economic intuition and understanding. The book has a number of distinctive features including a thorough and accessible introduction to stochastic processes and the stochastic calculus needed for the modern financial modelling approach used in the book, as well as a separate chapter that explains how the term structure of interest ratesrelates to macro-economic variables and to what extent the concrete interest rate models are founded in general economic theory. The book focuses on the most widely used models and the main fixed income securities, instead of trying to cover all the many specialized models and the countless exoticreal-life products. The in-depth explanation of the main pricing principles, techniques, and models as well as their application to the most important types of securities will enable the reader to understand and apply other models and price other securities. The book includes chapters on interestrate risk management, credit risk, mortgage-backed securities, and relevant numerical techniques. Each chapter concludes with a number of exercises of varying complexity. Suitable for MSc students specializing in finance and economics, quantitatively oriented MBA students, and first- or second-year PhD students, this book will also be a useful reference for researchers and finance professionals and can be used in specialized courses on fixed income or broader courseson derivatives.

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Fixed Income Modelling offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. It explains the basic fixed income securities and their properties and uses as well as the relations between thosesecurities. The book presents and compares the clas...

Claus Munk holds a PhD in Economics (1997) and an MSc in Mathematics-Economics (1993) from the University of Southern Denmark. After holding positions at the University of Southern Denmark and Aarhus University, he joined the Copenhagen Business School in 2012 as a Professor of finance. His primary research areas are asset allocation,...

other books by Claus Munk

Financial Asset Pricing Theory
Financial Asset Pricing Theory

Paperback|Feb 19 2015

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Format:PaperbackDimensions:576 pages, 9.21 × 6.14 × 0.01 inPublished:February 27, 2015Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198716443

ISBN - 13:9780198716440

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Table of Contents

Preface1. Introduction and overview2. Extracting Yield Curves from Bond Prices3. Stochastic Processes and Stochastic Calculus4. A Review of General Asset Pricing Theory5. The Economics of the Term Structure of Interest Rates6. Fixed Income Securities7. One-factor Diffusion Models8. Multi-factor Diffusion Models9. Calibration of Diffusion Models10. Heath-Jarrow-Morton Models11. Market models12. The Measurement and Management of Interest Rate Risk13. Defaultable Bonds and Credit Derivatives14. Mortgages and Mortgage-backed Securities15. Stock and Currency Derivatives when Interest Rates are Stochastic16. Numerical TechniquesAppendix: Results on the Lognormal Distribution

Editorial Reviews

"I enjoyed reading the book. Claus Munk manages to present many demanding topics in a very clear and understandable way. The book is well suited as a textbook on fixed income for advanced finance students. I also recommend reading to researchers and finance professionals." --Antje Mahayni, Journal of Economics October 2012, Volume 107, Issue 2, pp 195-197