Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and HedgingISBN: 978-0-471-49502-4
Hardcover
276 pages
February 2001
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Introduction.
Acknowledgments.
Standard Notation.
PRICING AND HEDGING CERTAIN CASH-FLOWS
Deriving the Current Zero-Coupon Rate Curve.
Basic Assets Pricing and Hedging.
PRICING AND HEDGING UNCERTAIN CASH-FLOWS.
Modelling the Zero-Coupon Yield Curve Dynamics.
Pricing and Hedging Fixed-Income Derivatives.
MATHEMATICAL APPENDICES.
Appendix A: An Introduction to Stochastic Processes in Continuous Time.
Appendix B: Numerical Methods.
References.
Index.
Acknowledgments.
Standard Notation.
PRICING AND HEDGING CERTAIN CASH-FLOWS
Deriving the Current Zero-Coupon Rate Curve.
Basic Assets Pricing and Hedging.
PRICING AND HEDGING UNCERTAIN CASH-FLOWS.
Modelling the Zero-Coupon Yield Curve Dynamics.
Pricing and Hedging Fixed-Income Derivatives.
MATHEMATICAL APPENDICES.
Appendix A: An Introduction to Stochastic Processes in Continuous Time.
Appendix B: Numerical Methods.
References.
Index.
