About this product

Product Identifiers

PublisherWiley & Sons, Incorporated, John

ISBN-100470109106

ISBN-139780470109106

eBay Product ID (ePID)77386521

Product Key Features

Number of Pages848 Pages

LanguageEnglish

Publication NameFixed Income Securities : Valuation, Risk, and Risk Management

SubjectFinance / General, Investments & Securities / General

Publication Year2010

TypeTextbook

Subject AreaBusiness & Economics

AuthorPietro Veronesi

FormatHardcover

Dimensions

Item Height1.5 in

Item Weight51.9 Oz

Item Length10.3 in

Item Width7.4 in

Additional Product Features

Intended AudienceCollege Audience

LCCN2009-043712

Dewey Edition22

IllustratedYes

Dewey Decimal332.632044

Table Of ContentPreface. Acknowledgments. PART I: BASICS. 1 An Introduction to Fixed Income Markets. 2 Basics of Fixed Income Securities. 3 Basics of Interest Rate Risk Management. 4 Basic Refinements in Interest Rate Risk Management. 5 Interest Rate Derivatives: Forwards and Swaps. 6 Interest Rate Derivatives: Futures and Options. 7 Inflation, Monetary Policy, and the Federal Funds Rate. 8 Basics of Residential Mortgage Backed Securities. PART II: TERM STRUCTURE MODELS: TREES. 9 One Step Binomial Trees. 10 Multi-Step Binomial Trees. 11 Risk Neutral Trees and Derivative Pricing. 12 American Options. 13 Monte Carlo Simulations on Trees. PART III: TERM STRUCTURE MODELS: CONTINUOUS TIME. 14 Interest Rate Models in Continuous Time. 15 No Arbitrage and the Pricing of Interest Rate Securities. 16 Dynamic Hedging and Relative Value Trades. 17 Risk Neutral Pricing and Monte Carlo Simulations. 18 The Risk and Return of Interest Rate Securities. 19 No Arbitrage Models and Standard Derivatives. 20 The Market Model for Standard Derivatives. 21 Forward Risk Neutral Pricing and the LIBOR Market Model. 22 Multifactor Models. References. Index.

SynopsisReviews and Praise For Fixed Income Securities... "This book is a much needed guide to the complex landscape of modern fixed income securities and derivatives markets. Drawing on a few simple principles, but never neglecting the crucial details of each market, Pietro Veronesi lucidly explains how to model and manage fixed income risks." - John Y. Campbell, Department Chair, Harvard University Department of Economics "Pietro Veronesi has given us an instant classic on fixed income markets. This book takes a completely new approach to the subject, combining a rich set of modeling issues with excellent intuition and coverage of institutional details." - Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University Graduate School of Business "Veronesis book provides a new standard reference for students of fixed income markets. Veronesi presents his material using easy to follow arguments and prose making the book easily accessible to students who are new to these markets. In addition, Veronesi provides a wonderful set of examples based on real-world data and situations. These examples provide readers with a deeper understanding of both the pricing of fixed income securities and the working of the markets. Even experts in the field will find his examples very insightful. Highly recommended reading!" - John C. Heaton, Joseph L. Gidwitz Professor of Finance, The University of Chicago Booth School of Business "This is an extraordinarily comprehensive treatment of the pricing and hedging of fixed-income securities. Professor Veronesis masterful blending of theory and practice highlights the growing importance of fixed-income markets in the global economy while making the many complex products and risk management problems fully accessible. It will surely become a "must have" reference for academics and practitioners alike." - Kenneth J. Singleton, Adams Distinguished Professor of Management, Stanford University Graduate School of Business "I just taught a class using this book, and believe there is currently no better fixed income textbook on the market. It has an unmatched combination of rigorous coverage, user-friendly worked examples, and institutional detail, making it a pleasure to teach (and to learn) from." - Richard Stanton, Professor of Finance and Barbara and Gerson Bakar Faculty Fellow, Haas School of Business, University of California, Berkeley, The deep understanding of the forces that affect the valuation, risk and return of fixed income securities and their derivatives has never been so important. As the world of fixed income securities becomes more complex, anybody who studies fixed income securities must be exposed more directly to this complexity., The deep understanding of the forces that affect the valuation, risk and return of fixed income securities and their derivatives has never been so important. As the world of fixed income securities becomes more complex, anybody who studies fixed income securities must be exposed more directly to this complexity. This book provides a thorough discussion of these complex securities, the forces affecting their prices, their risks, and of the appropriate risk management practices. Fixed Income Securities , however, provides a methodology, and not a shopping list. It provides instead examples and methodologies that can be applied quite universally, once the basic concepts have been understood.

LC Classification NumberHG4650