Dynamic term structure modeling
Subtitle: the fixed income valuation course
By: Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto.
Contributors: Beli︠a︡eva, N. A.; Soto, Gloria M.
Series: Wiley finance series
Publisher: John Wiley & Sons
Published: 2007
Place of publication: Hoboken, NJ
Language: eng
Number of pages: 683
ISBN-13: 9780471737148
Subjects: Finance; Stochastic processes
Notes: Includes bibliographical references and index.
Table of contents: title: A simple introduction to continuous-time stochastic processes; title: Arbitrage free valuation; title: Valuing interest rate and credit derivatives : basic pricing frameworks; title: Fundamental and preference-free single-factor Gaussian models; title: Fundamental and preference-free jump-extended Gaussian models; title: The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps; title: Preference-free CIR and CEV models with jumps; title: Fundamental and preference-free two-factor affine models; title: Fundamental and preference-free multifactor affine models; title: Fundamental and preference-free quadratic models; title: The HJM/String/LMM forward rate models; title: A simple introduction to continuous-time stochastic processes.