GARP Digital Library

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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
4
Page Range:
67-81
Total Pages:
15
 
 
Publisher:
Publication Year:
2005
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$3.00
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:             US$3.50
 
* Order print copy for an additional US$2.00 + shipping & handling (select at checkout)
 
 
 
To purchase all chapters from this book currently available from GDL, click here.
 
 
Quantitative Level:
Basic
 
 
Keywords:
 
 
Topics Covered:
Term structure modeling, short-rate processes, geometric Brownian motion, Weiner process, Ito’s lemma, one-factor term-structure models, Vasicek model, Hull -White model, Cox-Ingersoll-Ross (CIR) model, two-factor term-structure models, Brennan-Schwartz model, Heath-Jarrow-Morton (HJM) model, mean reversion, time-dependent drift, arbitrage models, equilibrium interest rate models
 
 
Reading Contents:
4.1 Basic Concepts
4.1.1 Short-Rate Processes
4.1.2 Ito’s Lemma
4.2 One-Factor Term-Structure Models
4.2.1 Vasicek Model
4.2.2 Hull-White Model
4.3 Further One-Factor Term-Structure Models
4.3.1 Cox-Ingersoll-Ross (CIR) Model
4.4 Two-Factor Interest Rate Models
4.4.1 Brennan-Schwartz Model
4.4.2 Extended Cox-Ingersoll-Ross Model
4.4.3 Heath-Jarrow-Morton (HJM) Model
4.4.4 The Multifactor HJM Model
4.5 Choosing a Term-Structure Model
 
 
 
 
Book Review:
** From the Publisher **

An array of techniques and applications are used in the analysis and valuation of the principal debt market instruments. The basic analytical techniques are applicable in all bond markets, but as the instruments being valued become more complex, additional techniques are required. In order to succeed, today’s financial practitioners need to be up to speed on how these derivative products and their underlying securities are structured and valued.

In Fixed-Income Securities and Derivatives Handbook, Moorad Choudhry provides a concise and accessible overview of the main elements of the markets, the techniques used, and their applications. Covering a wide range of market instruments, the book examines simple and complex products and the mathematics behind them.

Analyzing cash and derivative products, Choudhry provides insight into market conventions with case studies demonstrating how the markets really work. The book features an introduction to yield-curve models, curve-fitting techniques, option-adjusted spreads, index-linked bond analytics, and a range of other applications in the fixed-income markets. Choudhry’s unique focus on the international nature of these instruments makes the techniques and applications appropriate to every debt capital market.

Whether new to the field or simply in need of a refresher on recent developments, the practitioner will find Fixed-Income Securities and Derivatives Handbook a resource to have close by.
 



 
   
GARP Digital Library