Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

ISBN-13: 9789810240790 / Angielski / Twarda / 2006 / 520 str.

Yi Tang; Bin Li

Opis

This book addresses many practical issues in the fixed-income market, some of which are quite important, yet not readily available in the literature in an integral and systematic form. The topics covered include: (l) yield curve models, such as the orthogonal exponential spline model, the two-factor risk model, and the yield decomposition model; (2) actual trading strategies used by leading Wall Street power houses, and forecasting models, such as artificial neural networks; (3) dynamic interest rate modeling and derivative pricing in the Heath-Jarrow-Morton framework with particular emphasis on the Brace-Gatarek-Musiela interest rate market model, as well as practical multi-factor numerical implementations using, for example, the non-exploding bushy tree technique; (4) introduction to value-at-risk analysis. The book attempts to combine simplicity and economic insights with mathematical elegance, and it will be beneficial to both novice and advanced readers who work or are interested in the fixed-income market.