Fixed Income Modelling

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 rates relates 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 exotic real-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 interest rate risk management, credit risk, mortgage-backed securities, and relevant numerical techniques.

• | Author: Claus Munk
• | Publisher: Oxford University Press
• | Publication Date: Mar 15, 2015
• | Number of Pages: 576 pages
• | Language: English
• | Binding: Paperback
• | ISBN-10: 0198716443
• | ISBN-13: 9780198716440