 Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging
ISBN: 978-0-471-49502-4
Hardcover
270 pages
February 2001
US $125.00
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"This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners." - Darrell Duffie, Stanford University
"This is the most comprehensive theoretical treatment of the subject I've ever seen." - Mark Rubinstein, Haas School of Business, University of California
"An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area. " - Oldrich Alfons Vasicek, KMV Corporation
"This is the most comprehensive theoretical treatment of the subject I've ever seen." - Mark Rubinstein, Haas School of Business, University of California
"An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area. " - Oldrich Alfons Vasicek, KMV Corporation
