期間構造の動的モデリング Dynamic Term Structure Modeling : The Fixed Income Valuation Course (Wiley Finance) （HAR/CDR）

Nawalkha, Sanjay K./ Beliaeva, Natalia A./ Soto, Gloria M.

John Wiley & Sons Inc（2007/06発売）

• 製本 Hardcover:ハードカバー版／ページ数 683 p.
• 言語 ENG
• 商品コード 9780471737148
• DDC分類 332.0151923

Full Description

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."--Pierre Collin-Dufresne 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

Contents

List of Figures. List of Tables. CHAPTER 1. A Simple Introduction to Continuous-Time Stochastic Processes. CHAPTER 2. Arbitrage-Free Valuation. CHAPTER 3. Valuing Interest Rate and Credit Derivatives: Basic Pricing Frameworks. CHAPTER 4. Fundamental and Preference-Free Single-Factor Gaussian Models. CHAPTER 5. Fundamental and Preference-Free Jump-Extended Gaussian Models. CHAPTER 6. The Fundamental Cox, Ingersoll, and Ross Model with Exponential and Lognormal Jumps. CHAPTER 7. Preference-Free CIR and CEV Models with Jumps. CHAPTER 8. Fundamental and Preference-Free Two-Factor Affine Models. CHAPTER 9. Fundamental and Preference-Free Multifactor Affine Models. CHAPTER 10. Fundamental and Preference-Free Quadratic Models. CHAPTER 11. The HJM Forward Rate Model. CHAPTER 12. The LIBOR Market Model. References. About the CD-ROM. Index.