Fixed Income Modelling

ISBN: 9780198716440 出版年：2011 页码：573 Munk, Claus Oxford University Press

Preface 1. Introduction and overview 2. Extracting Yield Curves from Bond Prices 3. Stochastic Processes and Stochastic Calculus 4. A Review of General Asset Pricing Theory 5. The Economics of the Term Structure of Interest Rates 6. Fixed Income Securities 7. One-factor Diffusion Models 8. Multi-factor Diffusion Models 9. Calibration of Diffusion Models 10. Heath-Jarrow-Morton Models 11. Market models 12. The Measurement and Management of Interest Rate Risk 13. Defaultable Bonds and Credit Derivatives 14. Mortgages and Mortgage-backed Securities 15. Stock and Currency Derivatives when Interest Rates are Stochastic 16. Numerical Techniques Appendix: Results on the Lognormal Distribution