- Provides comprehensive coverage of pricing and hedging fixed–income securities
- Contains numerous real–world examples and applications
- Offers an accessible and well–structured exposition of a technically difficult area
"This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed–income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed–income derivatives, to the currently active topic of defaultable yield curve modelling. It will be particularly useful to practitioners." Darrell Duffie, Stanford University
"This is the most comprehensive theoretical treatment of the subject I?ve ever seen." Mark Rubinstein, Haas School of Business, University of California
PRICING AND HEDGING CERTAIN CASH–FLOWS
Deriving the Current Zero–Coupon Rate Curve.
Basic Assets Pricing and Hedging.
PRICING AND HEDGING UNCERTAIN CASH–FLOWS.
Modelling the Zero–Coupon Yield Curve Dynamics.
Pricing and Hedging Fixed–Income Derivatives.
Appendix A: An Introduction to Stochastic Processes in Continuous Time.
Appendix B: Numerical Methods.
"This is the most comprehensive theoretical treatment of the subject I′ve ever seen." – Mark Rubinstein, Haas School of Business, University of California
"An excellent review of interest rate models and of the pricing and hedging principles in the fixed–income area. " – Oldrich Alfons Vasicek, KMV Corporation