A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Claus Munk holds a PhD in Economics (1997) and an MSc in Mathematics-Economics (1993) from the University of Southern Denmark. After holding positions at the University of Southern Denmark and Aarhus University, he joined the Copenhagen Business School in 2012 as a Professor of finance. His primary research areas are asset allocation, general asset pricing theory, financial derivatives, household finance, executive compensation, and the application of numerical methods in finance. His research has been published in highly ranked journals such as Journal of Financial Economics, Management Science, Journal of Accounting Research, Journal of Banking and Finance, and Journal of Economic Dynamics and Control. He is the author of the books Fixed Income Modelling and Financial Asset Pricing Theory, both published by Oxford University Press.
Inhaltsangabe
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
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
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