Title: Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM / Edition 1
Author: Gloria M. Soto, Sanjay K. Nawalkha, Natalia A. Beliaeva
ISBN-10: 0471737143
ISBN-13: 9780471737148
Dynamic Term Structure Modeling, the second book in the trilogyof the Fixed Income Valuation Course, shows you how to valueinterest rate derivatives and credit derivatives using a variety ofaffine, quadratic, HJM, and LIBOR market models. Using a newtaxonomy, this book classifies all term structure models as eitherfundamental models, or preference-free single-plus, double-plus,and triple-plus models. Filled with in-depth insights and expertadvice, this book shows you how to price basic interest rate andcredit derivative products, such as Treasury and Eurodollarfutures, bond options, interest rate options (e.g., caps, floors,and swaptions), forward rate agreements, interest rate swaps,credit default swaps, credit spread options, and others. Following an approach that emphasizes basic mathematical rulesand heuristic derivations over rigorous theoretical developmentsand technical proofs, Dynamic Term Structure Modeling makes thetechnology of valuing fixed income derivatives accessible to bothseasoned financial professionals and academics. Whether you’re ahead of a fixed income quant group, an analyst at a fixed incomehedge fund, a manager of a pension fund, or a VP at an insurancecompany, the intuitive and rigorous understanding of dynamic termstructure models is crucial for you to value, hedge, and innovate avariety of fixed income securities and their derivatives. With intuitive explanations and fully developed examples,Dynamic Term Structure Modeling provides new transforms forbuilding efficient trees under state-dependent volatility models,stochastic volatility models, and jump-diffusion models for pricingAmerican options; and describes fast computational methods, such asthe Fourier inversion method (including the FFT) and the cumulantexpansion method, for valuing interest rate derivatives and creditderivatives, under a variety of affine, quadratic, and LIBOR marketmodels. Dynamic Term Structure Modeling is also accompanied by aninformative CD-ROM, which contains various Excel®/VBA®spreadsheets that will enhance your understanding of the termstructure models outlined throughout these pages. This softwareallows for the valuation of interest rate derivatives by buildinginterest rate trees for low-dimensional affine models, as well ascomputing solutions using quasi-analytical formulas forhigher-dimensional affine, quadratic, and LIBOR market models.Though most of the programs require coding in advanced scientificlanguages—such as C and C++—the final output is presentedin user-friendly Excel/VBA spreadsheets. This will allow you toinstantly work with a variety of term structure models in order toprice caps, swaptions, credit default swaps, and many other fixedincome derivatives. For more information on the three books in this course,including demo software and special features, please visitwww.fixedincomerisk.com.
