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Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging

ISBN: 978-0-471-49502-4
Hardcover
264 pages
February 2001
List Price: US $173.00
Government Price: US $110.72
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Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging (0471495026) cover image
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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 ContinuousTime.

Appendix B: Numerical Methods.

References.

Index.
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