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Fixed Income Modelling Claus Munk (Professor of Finance, School of Economics and Management & Department of Mathematical Sciences, Aarhus University, Denmark)

Fixed Income Modelling By Claus Munk (Professor of Finance, School of Economics and Management & Department of Mathematical Sciences, Aarhus University, Denmark)

Summary

A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.

Fixed Income Modelling Summary

Fixed Income Modelling by Claus Munk (Professor of Finance, School of Economics and Management & Department of Mathematical Sciences, Aarhus University, Denmark)

Fixed Income Modelling offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. It explains the basic fixed income securities and their properties and uses as well as the relations between those securities. The book presents and compares the classical affine models, Heath-Jarrow-Morton models, and LIBOR market models, and demonstrates how to apply those models for the pricing of various widely traded fixed income securities. It offers a balanced presentation with both formal mathematical modelling and economic intuition and understanding. The book has a number of distinctive features including a thorough and accessible introduction to stochastic processes and the stochastic calculus needed for the modern financial modelling approach used in the book, as well as a separate chapter that explains how the term structure of interest rates relates to macro-economic variables and to what extent the concrete interest rate models are founded in general economic theory. The book focuses on the most widely used models and the main fixed income securities, instead of trying to cover all the many specialized models and the countless exotic real-life products. The in-depth explanation of the main pricing principles, techniques, and models as well as their application to the most important types of securities will enable the reader to understand and apply other models and price other securities. The book includes chapters on interest rate risk management, credit risk, mortgage-backed securities, and relevant numerical techniques. Each chapter concludes with a number of exercises of varying complexity. Suitable for MSc students specializing in finance and economics, quantitatively oriented MBA students, and first- or second-year PhD students, this book will also be a useful reference for researchers and finance professionals and can be used in specialized courses on fixed income or broader courses on derivatives.

Fixed Income Modelling 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 *

About Claus Munk (Professor of Finance, School of Economics and Management & Department of Mathematical Sciences, Aarhus University, Denmark)

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.

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

Additional information

NLS9780198716440
9780198716440
0198716443
Fixed Income Modelling by Claus Munk (Professor of Finance, School of Economics and Management & Department of Mathematical Sciences, Aarhus University, Denmark)
New
Paperback
Oxford University Press
2015-02-19
576
N/A
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