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Textbook

Fixed Income Securities: Valuation, Risk, and Risk Management

Pietro Veronesi
ISBN: 978-0-470-10910-6
Hardcover
848 pages
January 2010, ©2011
List Price: US $221.95
Government Price: US $150.36
Enter Quantity:   Buy
Fixed Income Securities: Valuation, Risk, and Risk Management (0470109106) cover image

  • The basics of fixed income pricing, risk and risk management.
  • Introduction to the concept of term structure modeling and no arbitrage strategies.  
  • The Federal Reserve system, and the relation between interest rates, the real economy, and inflation.
  • The analysis of fixed income securities relying on binomial tree models of the term structure.
  • Pricing and hedging by Monte Carlo simulations on binomial trees.
  • More advanced  term structure models that rely on continuous time mathematics.
  • This book aims at clarifying two important issues:
    • First, models have parameters and parameters need data to be estimated.
    • Second, models are “just models”, and they are always an incomplete description of a much more complex real world.
  • All chapters include real-world examples and case studies.
  • End-of-chapter exercises using real-world data and real-world securities cement the important concepts.

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