Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and HedgingISBN: 978-0-471-49502-4
Hardcover
264 pages
February 2001
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"This is the first book I have seen to carefully cover such a wideset of topics in both theoretical and applied fixed-incomemodelling, ranging from the use of market information to obtainyield curves, to the pricing and hedging of bonds and fixed-incomederivatives, to the currently active topic of defaultableyield-curve modelling. It will be particularly useful topractitioners." - Darrell Duffie, Stanford University
"This is the most comprehensive theoretical treatment of thesubject I've ever seen." - Mark Rubinstein, Haas School ofBusiness, University of California
"An excellent review of interest rate models and of the pricingand hedging principles in the fixed-income area. " - Oldrich AlfonsVasicek, KMV Corporation
"This is the most comprehensive theoretical treatment of thesubject I've ever seen." - Mark Rubinstein, Haas School ofBusiness, University of California
"An excellent review of interest rate models and of the pricingand hedging principles in the fixed-income area. " - Oldrich AlfonsVasicek, KMV Corporation