Fixed Income Securities Valuation, Risk, and Risk Management

Name: Fixed Income Securities Valuation, Risk, and Risk Management
Availability: InStock
ISBN: 9780470109106

ISBN-10: 0470109106

ISBN-13: 9780470109106

Edition: 2010

Authors: Pietro Veronesi

List price: $213.95

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Description:

The deep understanding of the forces that affect the valuation, risk and return of fixed income securities and their derivatives has never been so important. As the world of fixed income securities becomes more complex, anybody who studies fixed income securities must be exposed more directly to this complexity. This book provides a thorough discussion of these complex securities, the forces affecting their prices, their risks, and of the appropriate risk management practices. "Fixed Income Securities," however, provides a methodology, and not a shopping list. It provides instead examples and methodologies that can be applied quite universally, once the basic concepts have been understood.

Book details

List price: $213.95
Copyright year: 2010
Publisher: John Wiley & Sons, Limited
Publication date: 2/2/2010
Binding: Hardcover
Pages: 848
Size: 7.30" wide x 10.20" long x 1.60" tall
Weight: 3.520




Basics



An Introduction to Fixed Income Markets



Basics of Fixed Income Securities



Basics of Interest Rate Risk Management



Basic Refinements in Interest Rate Risk Management



Interest Rate Derivatives: Forwards and Swaps



Interest Rate Derivatives: Futures and Options



Inflation, Monetary Policy, and the Federal Funds Rate



Basics of Residential Mortgage Backed Securities



Term Structure Models: Trees



One-Step Binomial Trees



Multi-Step Binomial Trees



Risk Neutral Trees and Derivative Pricing



American Options



Monte Carlo Simulations on Trees



Term Structure Models: Continuous Time



Interest Rate Models in Continuous Time



No Arbitrage and the Pricing of Interest Rate Securities



Dynamic Hedging and Relative Value Trades



Risk Neutral Pricing and Monte Carlo Simulations



The Risk and Return of Interest Rate Securities



No Arbitrage Models and Standard Derivatives



The Market Model and Options Volatility Dynamics



Forward Risk-Neutral Pricing and the LIBOR Market Model



Multifactor Models