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Cover: 9780198716440 | FIXED INCOME MODELLING P | Munk | Taschenbuch | Paperback | Englisch
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FIXED INCOME MODELLING P
Taschenbuch von Munk
Sprache: Englisch

63,60 €*

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Lieferzeit 1-2 Wochen

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Beschreibung
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
Über den Autor
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, general asset pricing theory, financial derivatives, household finance, executive compensation, and the application of numerical methods in finance. His research has been published in highly ranked journals such as Journal of Financial Economics, Management Science, Journal of Accounting Research, Journal of Banking and Finance, and Journal of Economic Dynamics and Control. He is the author of the books Fixed Income Modelling and Financial Asset Pricing Theory, both published by Oxford University Press.
Inhaltsverzeichnis
  • Preface

  • 1: Introduction and overview

  • 2: Extracting Yield Curves from Bond Prices

  • 3: Stochastic Processes and Stochastic Calculus

  • 4: A Review of General Asset Pricing Theory

  • 5: The Economics of the Term Structure of Interest Rates

  • 6: Fixed Income Securities

  • 7: One-factor Diffusion Models

  • 8: Multi-factor Diffusion Models

  • 9: Calibration of Diffusion Models

  • 10: Heath-Jarrow-Morton Models

  • 11: Market models

  • 12: The Measurement and Management of Interest Rate Risk

  • 13: Defaultable Bonds and Credit Derivatives

  • 14: Mortgages and Mortgage-backed Securities

  • 15: Stock and Currency Derivatives when Interest Rates are Stochastic

  • 16: Numerical Techniques

  • Appendix: Results on the Lognormal Distribution

Details
Erscheinungsjahr: 2016
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 574
ISBN-13: 9780198716440
ISBN-10: 0198716443
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Munk
Hersteller: Oxford University Press(UK)
Maße: 234 x 156 x 31 mm
Von/Mit: Munk
Erscheinungsdatum: 27.01.2016
Gewicht: 0,86 kg
preigu-id: 113408977
Über den Autor
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, general asset pricing theory, financial derivatives, household finance, executive compensation, and the application of numerical methods in finance. His research has been published in highly ranked journals such as Journal of Financial Economics, Management Science, Journal of Accounting Research, Journal of Banking and Finance, and Journal of Economic Dynamics and Control. He is the author of the books Fixed Income Modelling and Financial Asset Pricing Theory, both published by Oxford University Press.
Inhaltsverzeichnis
  • Preface

  • 1: Introduction and overview

  • 2: Extracting Yield Curves from Bond Prices

  • 3: Stochastic Processes and Stochastic Calculus

  • 4: A Review of General Asset Pricing Theory

  • 5: The Economics of the Term Structure of Interest Rates

  • 6: Fixed Income Securities

  • 7: One-factor Diffusion Models

  • 8: Multi-factor Diffusion Models

  • 9: Calibration of Diffusion Models

  • 10: Heath-Jarrow-Morton Models

  • 11: Market models

  • 12: The Measurement and Management of Interest Rate Risk

  • 13: Defaultable Bonds and Credit Derivatives

  • 14: Mortgages and Mortgage-backed Securities

  • 15: Stock and Currency Derivatives when Interest Rates are Stochastic

  • 16: Numerical Techniques

  • Appendix: Results on the Lognormal Distribution

Details
Erscheinungsjahr: 2016
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 574
ISBN-13: 9780198716440
ISBN-10: 0198716443
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Munk
Hersteller: Oxford University Press(UK)
Maße: 234 x 156 x 31 mm
Von/Mit: Munk
Erscheinungsdatum: 27.01.2016
Gewicht: 0,86 kg
preigu-id: 113408977
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