Title Fixed-income securities : dynamic methods for interest rate risk pricing and hedging / Lionel Martellini and Philippe Priaulet

Published Chichester, England ; New York : Wiley, 2000

Copies

Location	Call no.	Vol.	Availability
MELB	332.632042 Mar/Fis		AVAILABLE

Description xv, 254 pages ; 23 cm Series Wiley series in financial engineering Wiley series in financial engineering. Contents Pt. I. Pricing and Hedging Certain Cash-Flows -- 1. Deriving the Current Zero-Coupon Rate Curve -- 2. Basic Assets Pricing and Hedging -- Pt. II. Pricing and Hedging Uncertain Cash-Flows -- 3. Modelling the Zero-Coupon Yield Curve Dynamics -- 4. Pricing and Hedging Fixed-Income Derivatives -- Pt. III. Mathematical Appendices -- App. A. An Introduction to Stochastic Processes in Continuous Time -- App. B. Numerical Methods Bibliography Includes bibliographical references and index Subject Fixed-income securities -- Mathematical models. Pricing -- Mathematical models. Hedging (Finance) -- Mathematical models. Author Priaulet, Philippe. LC no. 00043341 ISBN 0471495026 cloth alkaline paper

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