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Fixed Income Modelling
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Fixed Income Modelling

Claus Munk

Abstract

This book offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. The basic fixed income securities and their properties and uses as well as the relations between these securities are explained. 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. The book has a number of distinctive features compared to other fixed-income texts. It off ... More

Keywords: term structure, interest rates, models, fixed income securities, pricing, risk management, economic theory

Bibliographic Information

Print publication date: 2011 Print ISBN-13: 9780199575084
Published to Oxford Scholarship Online: September 2011 DOI:10.1093/acprof:oso/9780199575084.001.0001

Authors

Affiliations are at time of print publication.

Claus Munk, author
Professor of Finance, School of Economics and Management & Department of Mathematical Sciences, Aarhus University, Denmark
Author Webpage

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