Advances in Fixed Income Valuation Modeling and Risk Management
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- Wiley
More About This Title Advances in Fixed Income Valuation Modeling and Risk Management
English
Frank J. Fabozzi is a financial consultant, editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.
English
Preface.
Contributing Authors.
Index of Advertisers.
1. Interest Rate Models (O. Cheyette).
2. The Four Faces of an Interest Rate Model (P. Fitton and J. McNatt).
3. Arbitrage-Free Bond Canonical Decomposition (T. Ho and M. Chen).
4. Valuing Path-Dependent Securities: Some Numerical Examples (C. Howard).
5. Problems Encountered in Valuing Interest Rate Derivatives (Y. Pierides).
6. Recent Advances in Corporate Bond Valuation (L. Gagnon, et al.).
7. An Options Approach to Commercial Mortgages and CMBS Valuation and Risk Analysis (D. Jacob, et al.).
8. A Two-Factor Model for the Valuation of the T-Bond Futures Contract's Embedded Options (S. Nielsen and E. Ronn).
9. Pricing and Hedging Interest Rate Risks with the Multi-Factor Cox-Ingersoll-Ross Model (R. Chen and L. Scott).
10. Valuation and Analysis of ARMs (S. Mansukhani).
11. Valuation and Portfolio Risk Management with Mortgage-Backed Securities (S. Zenios).
12. An Integrated Framework for Valuation and Risk Analysis of International Bonds (R. Bhansali and L. Goldberg).
13. Tax Effects in U.S. Government Bond Markets (E. Ronn and Y. Shin).
14. Fixed-Income Risk (R. Kahn).
15. Advanced Risk Measures for Fixed-Income Securities (T. Geske and G. Klinkhammer).
16. Yield Curve Risk Management (R. Reitano).
17. Portfolio Risk Management (H. Fong and O. Vasicek).
18. Numerical Pitfalls of Lattice-Based Duration and Convexity Calculations (C. Howard).
19. Price Sensitivity Measures for Brady Bonds (S. Dym).
20. Modeling and Forecasting Interest Rate Volatility with GARCH (W. Lee and J. Yin).
Index.
Contributing Authors.
Index of Advertisers.
1. Interest Rate Models (O. Cheyette).
2. The Four Faces of an Interest Rate Model (P. Fitton and J. McNatt).
3. Arbitrage-Free Bond Canonical Decomposition (T. Ho and M. Chen).
4. Valuing Path-Dependent Securities: Some Numerical Examples (C. Howard).
5. Problems Encountered in Valuing Interest Rate Derivatives (Y. Pierides).
6. Recent Advances in Corporate Bond Valuation (L. Gagnon, et al.).
7. An Options Approach to Commercial Mortgages and CMBS Valuation and Risk Analysis (D. Jacob, et al.).
8. A Two-Factor Model for the Valuation of the T-Bond Futures Contract's Embedded Options (S. Nielsen and E. Ronn).
9. Pricing and Hedging Interest Rate Risks with the Multi-Factor Cox-Ingersoll-Ross Model (R. Chen and L. Scott).
10. Valuation and Analysis of ARMs (S. Mansukhani).
11. Valuation and Portfolio Risk Management with Mortgage-Backed Securities (S. Zenios).
12. An Integrated Framework for Valuation and Risk Analysis of International Bonds (R. Bhansali and L. Goldberg).
13. Tax Effects in U.S. Government Bond Markets (E. Ronn and Y. Shin).
14. Fixed-Income Risk (R. Kahn).
15. Advanced Risk Measures for Fixed-Income Securities (T. Geske and G. Klinkhammer).
16. Yield Curve Risk Management (R. Reitano).
17. Portfolio Risk Management (H. Fong and O. Vasicek).
18. Numerical Pitfalls of Lattice-Based Duration and Convexity Calculations (C. Howard).
19. Price Sensitivity Measures for Brady Bonds (S. Dym).
20. Modeling and Forecasting Interest Rate Volatility with GARCH (W. Lee and J. Yin).
Index.
