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Tables of Contents for Advanced Fixed-Income Valuation Tools
Chapter/Section Title
Page #
Page Count
Part I Advanced Fixed-Income Mathematics
1
81
Fixed-Income Subtleties and the Pricing of Long Bonds
7
18
Neil D. Pearson
Convexity Bias and the Yield Curve
25
33
Antti Ilmanen
Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation
58
23
Mark Grinblatt
Narasimhan Jegadeesh
Part II Term Structure Modeling
81
110
Discrete-Time Models of Bond Pricing
87
41
David Backus
Silverio Foresi
Chris Telmer
Stochastic Mean Models of the Term Structure of Interest Rates
128
34
Pierluigi Balduzzi
Sanjiv Ranjan Das
Silverio Foresi
Rangarajan K. Sundaram
Interest Rate Modeling with Jump-Diffusion Processes
162
29
Sanjiv Ranjan Das
Part III Other Risk Factors
191
154
Some Elements of Rating-Based Credit Risk Modeling
193
23
David Lando
Anatomy of Prepayments: The Salomon Brothers Prepayment Model
216
49
Lakhbir Hayre
Arvind Rajan
The Pricing and Hedging of Mortgage-Backed Securities: A Multivariate Density Estimation Approach
265
37
Jacob Boudoukh
Matthew Richardson
Richard Stanton
Robert F. Whitelaw
The Muni Puzzle: Explanations and Implications for Investors
302
18
John M.R. Chalmers
Models of Currency Option Pricing
320
25
Gurdip Bakshi
Zhiwu Chen
Part IV Numerical Valuation Techniques
345
58
Exploring the Relation between Discrete-Time Jump Processes and the Finite Difference Method
347
20
Steve Heston
Guofu Zhou
Monte Carlo Methods for the Valuation of Interest Rate Securities
367
36
Leif Andersen
Phelim P. Boyle
Index
403