Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging
Language: English
Published by John Wiley & Sons Inc, 2001
- Hardcover
- New
Seller: Revaluation Books, Exeter, United KingdomRevaluation Books
AbeBooks seller since January 6, 2003
Condition: New
£ 180.66
Quantity: 2 available
Add to basketItem description from seller
1st edition. 254 pages. 9.50x6.25x1.00 inches. In Stock.
Seller Inventory # x-0471495026
- Title
- Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging
- Author
- Lionel Martellini/ Philippe Priaulet
- Publisher
- John Wiley & Sons Inc
- Publication year
- 2001
- Condition
- Brand New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0471495026
- ISBN 13
- 9780471495024
- Item weight
- 0.47 kilograms
Fixed-Income Securities provides a survey of modern methods forpricing and hedging fixed-income securities in the presence ofinterest rate risk. Modern theory of finance provides a wealth ofnew approaches to the important question of interest rate riskmanagement, and this book brings them together, in a comprehensiveand thorough treatment of the subject.
Structured in an accessible manner, the authors begin by focusingon pricing and hedging certain cash flows, before moving on toconsider pricing and hedging uncertain cash flows. In addition tothe theoretical explanation, the authors provide numerousreal-world examples and applications throughout.
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 of Business,University of California
An excellent review of interest rate models and of the pricing andhedging principles in the fixed-income area.Oldrich Alfons Vasicek,KMV Corporation
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"About the title" may belong to another edition of this title.
Revaluation Books
Exeter, United Kingdom
AbeBooks seller since January 6, 2003
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Edward Bowditch Ltd
Exstowe, Exton
Exeter, United Kingdom EX3 0PP
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