Fixed income securities : valuation, risk, and risk management / Pietro Veronesi
Imprint
Hoboken, N.J. : Wiley, c2010
Descript
xxxiii, 805 p. : ill. ; 26 cm
CONTENT
An introduction to fixed income markets -- Basic of fixed income securities -- Basics of interest risk management -- Basic refinements in interest rate risk management -- Interest rate derivatives: forwards and swaps -- Interest rate derivatives: futures and options -- Inflation, monetary policy, and the federal funds rate -- Basic of residential mortgage backed securities -- One step binomial trees -- Multi-step binomial trees -- Risk neutral trees and derivative pricing -- American options -- Monte Carlo simulations on trees -- Interest rate models in continuous time -- No arbitrage and the pricing of interest rate securities -- Dynamic hedging and relative value trades -- Risk neutral pricing and Monte Carlo simulations -- The risk and return of interest rate securities -- No arbitrage models and standard derivatives -- The market model for standard derivatives -- Forward risk neutral pricing and the labor market model -- Multifactor models