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FixedIncome Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging (Frontiers in Finance Series)
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Dynamic methods for interest rate risk pricing and hedging.FixedIncome Securities provides a survey of modern methods forpricing and hedging fixedincome securities in the presence ofinterest rate risk. Modern theory of finance provides a wealth ofnew approaches to the important question of interest rate riskmanagement, and this book brings them together, in a comprehensiveand thorough treatment of the subject.Structured in an accessible manner, the authors begin by focusingon pricing and hedging certain cash flows, before moving on toconsider pricing and hedging uncertain cash flows. In addition tothe theoretical explanation, the authors provide numerousrealworld examples and applications throughout.This is the first book I have seen to carefully cover such a wideset of topics in both theoretical and applied fixedincomemodelling, ranging from the use of market information to obtainyield curves, to the pricing and hedging of bonds and fixedincomederivatives, to the currently active topic of defaultableyieldcurve modelling. It will be particularly useful topractitioners.Darrell Duffie, Stanford UniversityThis is the most comprehensive theoretical treatment of thesubject I ve ever seen. Mark Rubinstein, Haas School of Business,University of CaliforniaAn excellent review of interest rate models and of the pricing andhedging principles in the fixedincome area.Oldrich Alfons Vasicek,KMV Corporation
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