Dynamic Term Structure Modeling: The Fixed Income Valuation Course

Dynamic Term Structure Modeling: The Fixed Income Valuation Course by Various


Authors
Various
ISBN
9780471737148
Published
Binding
Hardcover
Pages
640
Dimensions
237 x 164mm

Plus CD-ROM.

The second of three books in the Fixed Income Valuation Course, this book introduces dynamic term structure models for valuing fixed income securities and their derivatives. It covers affine/quadratic short rate models, the LIBOR/HJM forward rate models, and the unspanned stochastic volatility models. The companion CD-ROM features professional grade valuation software for a number of securities.
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