Fixed Income Modelling

Author:   Claus Munk (Professor of Finance, School of Economics and Management & Department of Mathematical Sciences, Aarhus University, Denmark)
Publisher:   Oxford University Press
ISBN:  

9780198716440


Pages:   576
Publication Date:   19 February 2015
Format:   Paperback
Availability:   To order   Availability explained
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Fixed Income Modelling


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Author:   Claus Munk (Professor of Finance, School of Economics and Management & Department of Mathematical Sciences, Aarhus University, Denmark)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 18.20cm , Height: 3.00cm , Length: 23.40cm
Weight:   0.856kg
ISBN:  

9780198716440


ISBN 10:   0198716443
Pages:   576
Publication Date:   19 February 2015
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   To order   Availability explained
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

Table of Contents

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

Reviews

`I enjoyed reading the book. Claus Munk manages to present many demanding topics in a very clear and understandable way. The book is well suited as a textbook on fixed income for advanced finance students. I also recommend reading to researchers and finance professionals. ' Antje Mahayni, Journal of Economics October 2012, Volume 107, Issue 2, pp 195-197


I enjoyed reading the book. Claus Munk manages to present many demanding topics in a very clear and understandable way. The book is well suited as a textbook on fixed income for advanced finance students. I also recommend reading to researchers and finance professionals. Antje Mahayni, Journal of Economics October 2012, Volume 107, Issue 2, pp 195-197


I enjoyed reading the book. Claus Munk manages to present many demanding topics in a very clear and understandable way. The book is well suited as a textbook on fixed income for advanced finance students. I also recommend reading to researchers and finance professionals. * Antje Mahayni, Journal of Economics October 2012, Volume 107, Issue 2, pp 195-197 *


Author Information

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.

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