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Author : Jun Zhang
Release : 2000
Genre : Fixed-income securities
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Essays on Pricing Fixed Income Derivatives and Risk Management by : Jun Zhang
Download or read book Essays on Pricing Fixed Income Derivatives and Risk Management written by Jun Zhang. This book was released on 2000. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Don M. Chance
Release : 2011-07-05
Genre : Business & Economics
Kind : eBook
Book Rating : 649/5 ( reviews)
Book Synopsis Essays in Derivatives by : Don M. Chance
Download or read book Essays in Derivatives written by Don M. Chance. This book was released on 2011-07-05. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Author : Xiaofei Li
Release : 2004
Genre : Credit
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays on the Pricing of Fixed Income Securities with Credit Risk by : Xiaofei Li
Download or read book Three Essays on the Pricing of Fixed Income Securities with Credit Risk written by Xiaofei Li. This book was released on 2004. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis studies the impacts of credit risk, or the risk of default, on the pricing of fixed income securities. It consists of three essays. The first essay extends the classical corporate debt pricing model in Merton (1974) to incorporate stochastic volatility (SV) in the underlying firm asset value and derive a closed-form solution for the price of corporate bond. Simulation results show that the SV specification for firm asset value greatly increases the resulting credit spread levels. Therefore, the SV model addresses one major deficiency of the Merton-type models: namely, at short maturities the Merton model is unable to generate credit spreads high enough to be compatible with those observed in the market. In the second essay, we develop a two-factor affine model for the credit spreads on corporate bonds. The first factor can be interpreted as the level of the spread, and the second factor is the volatility of the spread. Our empirical results show that the model is successful at fitting actual corporate bond credit spreads. In addition, key properties of actual credit spreads are better captured by the model. Finally, the third essay proposes a model of interest rate swap spreads. The model accommodates both the default risk inherent in swap contracts and the liquidity difference between the swap and Treasury markets. The default risk and liquidity components of swap spreads are found to behave very differently: first, the default risk component is positively related to the riskless interest rate, whereas the liquidity component is negatively correlated with the riskless interest rate; second, although default risk accounts for the largest share of the levels of swap spreads, the liquidity component is much more volatile; and finally, while the default risk component has been historically positive, the liquidity component was negative for much of the 1990s and has become positive since the financial market turmoil in 1998." --
Author : Lionel Martellini
Release : 2005-09-27
Genre : Business & Economics
Kind : eBook
Book Rating : 228/5 ( reviews)
Book Synopsis Fixed-Income Securities by : Lionel Martellini
Download or read book Fixed-Income Securities written by Lionel Martellini. This book was released on 2005-09-27. Available in PDF, EPUB and Kindle. Book excerpt: This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Author : Sanjay K. Nawalkha
Release : 2005-05-31
Genre : Business & Economics
Kind : eBook
Book Rating : 445/5 ( reviews)
Book Synopsis Interest Rate Risk Modeling by : Sanjay K. Nawalkha
Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha. This book was released on 2005-05-31. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
