Sold Out
Book Categories |
List of Figures xxxi
List of Tables xxxv
A Simple Introduction to Continuous-Time Stochastic Processes 1
Continuous-Time Diffusion Processes 3
Wiener Process 3
Ito Process 5
Ito's Lemma 7
Simple Rules of Stochastic Differentiation and Integration 9
Obtaining Unconditional Mean and Variance of Stochastic Integrals under Gaussian Processes 9
Examples of Gaussian Stochastic Integrals 11
Mixed Jump-Diffusion Processes 14
The Jump-Diffusion Process 14
Ito's Lemma for the Jump-Diffusion Process 15
Arbitrage-Free Valuation 17
Arbitrage-Free Valuation: Some Basic Results 18
A Simple Relationship between Zero-Coupon Bond Prices and Arrow Debreu Prices 20
The Bayes Rule for Conditional Probabilities of Events 20
The Relationship between Current and Future AD Prices 21
The Relationship between Cross-Sectional AD Prices and Intertemporal Term Structure Dynamics 22
Existence of the Risk-Neutral Probability Measure 23
Stochastic Discount Factor 28
Radon-Nikodym Derivative 30
Arbitrage-Free Valuation inContinuous Time 31
Change of Probability Measure under a Continuous Probability Density 32
The Girsanov Theorem and the Radon-Nikodym Derivative 34
Equivalent Martingale Measures 35
Stochastic Discount Factor and Risk Premiums 43
The Feynman-Kac Theorem 43
Valuing Interest Rate and Credit Derivatives: Basic Pricing Frameworks 49
Eurodollar and Other Time Deposit Futures 54
Valuing Futures on a Time Deposit 58
Convexity Bias 60
Treasury Bill Futures 61
Valuing T-Bill Futures 62
Convexity Bias 63
Treasury Bond Futures 64
Conversion Factor 65
Cheapest-to-Deliver Bond 67
Options Embedded in T-Bond Futures 68
Valuing T-Bond Futures 68
Treasury Note Futures 72
Forward Rate Agreements 73
Interest Rate Swaps 74
Day-Count Conventions 76
The Financial Intermediary 77
Motivations for Interest Rate Swaps 78
Pricing Interest Rate Swaps 82
Interest Rate Swaptions 85
Caps and Floors 88
Caplet 90
Floorlet 91
Collarlet 92
Caps, Floors, and Collars 92
Black Implied Volatilities for Caps and Swaptions 93
Black Implied Volatilities: Swaptions 95
Black Implied Volatilities: Caplet 96
Black Implied Volatilities: Caps 97
Black Implied Volatilities: Difference Caps 98
Pricing Credit Derivatives Using the Reduced-Form Approach 98
Default Intensity and Survival Probability 100
Recovery Assumptions 101
Risk-Neutral Valuation under the RMV Assumption 102
Risk-Neutral Valuation under the RFV Assumption 103
Valuing Credit Default Swaps Using the RFV Assumption 104
A New Taxonomy of Term Structure Models 106
Fundamental and Preference-Free Single-Factor Gaussian Models 113
The Arbitrage-Free Pricing Framework of Vasicek 115
The Term Structure Equation 116
Risk-Neutral Valuation 118
The Fundamental Vasicek Model 120
Bond Price Solution 124
Preference-Free Vasicek+, Vasicek++, and Vasicek+++ Models 128
The Vasicek+ Model 128
The Vasicek++, or the Extended Vasicek Model 136
The Vasicek+++, or the Fully Extended Vasicek Model 140
Valuing Futures 144
Valuing Futures under the Vasicek, Vasicek+ and Vasicek++ Models 145
Valuing Futures under the Vasicek+++ Model 150
Valuing Options 153
Options on Zero-Coupon Bonds 153
Options on Coupon Bonds 157
Valuing Interest Rate Contingent Claims Using Trees 161
Binomial Trees 163
Trinomial Trees 165
Trinomial Tree under the Vasicek++ Model: An Example 171
Trinomial Tree under the Vasicek+++ Model: An Example 178
Bond Price Solution Using the Risk-Neutral Valuation Approach under the Fundamental Vasicek Model and the Preference-Free Vasicek+ Model 181
Hull's Approximation to Convexity Bias under the Ho and Lee Model 184
Fundamental and Preference-Free Jump-Extended Gaussian Models 187
Fundamental Vasicek-GJ Model 188
Bond Price Solution 191
Jump-Diffusion Tree 194
Preference-Free Vasicek-GJ+ and Vasicek-GJ++ Models 201
The Vasicek-GJ+ Model 202
The Vasicek-GJ++ Model 203
Jump-Diffusion Tree 205
Fundamental Vasicek-EJ Model 206
Bond Price Solution 207
Jump-Diffusion Tree 209
Preference-Free Vasicek-EJ++ Model 216
Jump-Diffusion Tree 218
Valuing Futures and Options 218
Valuing Futures 219
Valuing Options: The Fourier Inversion Method 222
Probability Transformations with a Damping Constant 233
The Fundamental Cox, Ingersoll, and Ross Model with Exponential and Lognormal Jumps 237
The Fundamental Cox, Ingersoll, and Ross Model 239
Solution to Riccati Equation with Constant Coefficients 242
CIR Bond Price Solution 243
General Specifications of Market Prices of Risk 244
Valuing Futures 245
Valuing Options 248
Interest Rate Trees for the Cox, Ingersoll, and Ross Model 250
Binomial Tree for the CIR Model 250
Trinomial Tree for the CIR Model 263
Pricing Bond Options and Interest Rate Options with Trinomial Trees 273
The CIR Model Extended with Jumps 279
Valuing Futures 283
Futures on a Time Deposit 284
Valuing Options 285
Jump-Diffusion Trees for the CIR Model Extended with Jumps 287
Exponential Jumps 287
Lognormal Jumps 295
Preference-Free CIR and CEV Models with Jumps 305
Mean-Calibrated CIR Model 307
Preference-Free CIR+ and CIR++ Models 309
A Common Notational Framework 312
Probability Density and the Unconditional Moments 313
Bond Price Solution 315
Expected Bond Returns 317
Constant Infinite-Maturity Forward Rate under Explosive CIR+ and CIR++ Models 318
A Comparison with Other Markovian Preference-Free Models 321
Calibration to the Market Prices of Bonds and Interest Rate Derivatives 322
Valuing Futures 323
Valuing Options 325
Interest Rate Trees 327
The CIR+ and CIR++ Models Extended with Jumps 328
Preference-Free CIR-EJ+ and CIR-EJ++ Models 329
Jump-Diffusion Trees 331
Fundamental and Preference-Free Constant-Elasticity-of-Variance Models 331
Forward Rate and Bond Return Volatilities under the CEV++ Models 333
Valuing Interest Rate Derivatives Using Trinomial Trees 336
Fundamental and Preference-Free Constant-Elasticity-of-Variance Models with Lognormal Jumps 341
Fundamental and Preference-Free Two-Factor Affine Models 345
Two-Factor Gaussian Models 348
The Canonical, or the Ac, Form: The Dai and Singleton [2002] Approach 349
The Ar Form: The Hull and White [1996] Approach 353
The Ay Form: The Brigo and Mercuric [2001, 2006] Approach 356
Relationship between the A[subscript 0c](2)++ Model and the A[subscript 0y](2)++ Model 358
Relationship between the A[subscript 0r](2)++ Model and the A[subscript 0y](2)++ Model 360
Bond Price Process and Forward Rate Process 361
Probability Density of the Short Rate 362
Valuing Options 363
Two-Factor Gaussian Trees 364
Two-Factor Hybrid Models 373
Bond Price Process and Forward Rate Process 377
Valuing Futures 377
Valuing Options 380
Two-Factor Stochastic Volatility Trees 382
Two-Factor Square-Root Models 393
The Ay Form 393
The Ar Form 399
Relationship between the Canonical Form and the Ar Form 402
Two-Factor "Square-Root" Trees 403
Hull and White Solution of [eta](t, T) 410
Fundamental and Preference-Free Multifactor Affine Models 413
Three-Factor Affine Term Structure Models 416
The A[subscript 1r](3), A[subscript 1r](3)+, and A[subscript 1r](3)++ Models 416
The A[subscript 2r](3), A[subscript 2r](3)+, and A[subscript 2r](3)++ Models 421
Simple Multifactor Affine Models with Analytical Solutions 425
The Simple A[subscript M](N) Models 425
The Simple A[subscript M](N)+ and A[subscript M](N)++ Models 427
The Nested ATSMs 429
Valuing Futures 429
Valuing Options on Zero-Coupon Bonds or Caplets: The Fourier Inversion Method 433
Valuing Options on Coupon Bonds or Swaptions: The Cumulant Expansion Approximation 435
Calibration to Interest Rate Caps Data 448
Unspanned Stochastic Volatility 455
Multifactor ATSMs for Pricing Credit Derivatives 457
Simple Reduced-Form ATSMs under the RMV Assumption 458
Simple Reduced-Form ATSMs under the RFV Assumption 468
The Solution of [eta](t, T, [phiv]) for CDS Pricing Using Simple A[subscript M](N) Models under the RFV Assumption 476
Stochastic Volatility Jump-Based Mixed-Sign A[subscript N](N)-EJ++ Model and A[subscript 1](3)-EJ++ Model 477
The Mixed-Sign A[subscript N](N)-EJ++ Model 478
The A[subscript 1](3)-EJ++Model 479
Fundamental and Preference-Free Quadratic Models 483
Single-Factor Quadratic Term Structure Model 484
Duration and Convexity 488
Preference-Free Single-Factor Quadratic Model 492
Forward Rate Volatility 495
Model Implementation Using Trees 497
Extension to Jumps 498
Fundamental Multifactor QTSMs 501
Bond Price Formulas under Q[subscript 3](N) and Q[subscript 4](N) Models 505
Parameter Estimates 506
Preference-Free Multifactor QTSMs 508
Forward Rate Volatility and Correlation Matrix 515
Valuing Futures 518
Valuing Options on Zero-Coupon Bonds or Caplets: The Fourier Inversion Method 524
Valuing Options on Coupon Bonds or Swaptions: The Cumulant Expansion Approximation 527
Calibration to Interest Rate Caps Data 531
Multifactor QTSMs for Valuing Credit Derivatives 537
Reduced-Form Q[subscript 3](N), Q[subscript 3](N)+, and Q[subscript 3](N)++ Models under the RMV Assumption 537
Reduced-Form Q[subscript 3](N) and Q[subscript 3](N)+ Models under the RFV Assumption 543
The Solution of [eta](t, T, [phiv]) for CDS Pricing Using the Q[subscript 3](N) Model under the RFV Assumption 547
The HJM Forward Rate Model 551
The HJM Forward Rate Model 552
Numerical Implementation Using Nonrecombining Trees 556
A One-Factor Nonrecombining Binomial Tree 557
A Two-Factor Nonrecombining Trinomial Tree 565
Recursive Programming 569
A Recombining Tree for the Proportional Volatility HJM Model 572
Forward Price Dynamics under the Forward Measure 573
A Markovian Forward Price Process under the Proportional Volatility Model 575
A Recombining Tree for the Proportional Volatility Model Using the Nelson and Ramaswamy Transform 576
The LIBOR Market Model 583
The Lognormal Forward LIBOR Model (LFM) 585
Multifactor LFM under a Single Numeraire 588
The Lognormal Forward Swap Model (LSM) 591
A Joint Framework for Using Black's Formulas for Pricing Caps and Swaptions 595
The Relationship between the Forward Swap Rate and Discrete Forward Rates 596
Approximating the Black Implied Volatility of a Swaption under the LFM 597
Specifying Volatilities and Correlations 600
Forward Rate Volatilities: Some General Results 600
Forward Rate Volatilities: Specific Functional Forms 604
Instantaneous Correlations and Terminal Correlations 608
Full-Rank Instantaneous Correlations 612
Reduced-Rank Correlation Structures 619
Terminal Correlations 623
Explaining the Smile: The First Approach 623
The CEV Extension of the LFM 624
Displaced-Diffusion Extension of the LFM 626
Unspanned Stochastic Volatility Jump Models 629
Joshi and Rebonato [2003] Model 630
Jarrow, Li, and Zhao [2007] Model 631
An Extension of the JLZ Model 636
Empirical Performance of the JLZ [2007] Model 637
Reference 647
About the CD-ROM 658
Index 661
Login|Complaints|Blog|Games|Digital Media|Souls|Obituary|Contact Us|FAQ
CAN'T FIND WHAT YOU'RE LOOKING FOR? CLICK HERE!!! X
You must be logged in to add to WishlistX
This item is in your Wish ListX
This item is in your CollectionDynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM
X
This Item is in Your InventoryDynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM
X
You must be logged in to review the productsX
X
X
Add Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM, Praise for Dynamic Term Structure Modeling This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques usin, Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM to the inventory that you are selling on WonderClubX
X
Add Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM, Praise for Dynamic Term Structure Modeling This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques usin, Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM to your collection on WonderClub |