Dynamic Term Structure Modeling: The Fixed Income Valuation Course (Wiley Finance)

Nawalkha, Sanjay K.; Soto, Gloria M.; Beliaeva, Natalia A.

ISBN 10: 0471737143 / ISBN 13: 9780471737148

Published by Wiley, 2007

About this Item

Light highlighting present. Dust jacket missing.

Seller Inventory # 260718003

Bibliographic Details

• Title: Dynamic Term Structure Modeling: The Fixed Income Valuation Course (Wiley Finance)
• Publisher: Wiley
• Publication Date: 2007
• Language: English
• ISBN 10: 0471737143
• ISBN 13: 9780471737148
• Binding: hardcover
• Condition: Fair
• Weight: 34 ounces

About this title

Synopsis

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 using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike."
--Sanjiv Ranjan Das
Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives

"Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point."
--Nassim Nicholas Taleb
author, Dynamic Hedging and The Black Swan

"Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models."
--Pierre Collin-Dufresne
Associate Professor of Finance, UC Berkeley

"The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation."
--Thomas S. Y. Ho, PHD
President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

About the Author

Sanjay K. Nawalkha, PhD, is an Associate Professor of Finance at the Isenberg School of Management, University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, and is the President and founder of Nawalkha and Associates—a fixed income training and consulting firm.

Natalia A.Beliaeva, PhD, is an Assistant Professor of Finance at the Sawyer Business School, Suffolk University, Boston. She also holds a master's degree in computer science (artificial intelligence) from the University of Massachusetts Amherst. Dr. Beliaeva's expertise is in the area of applied numerical methods for pricing fixed income derivatives.

Gloria M.Soto, PhD, is a Professor of Applied Economics and Finance at the University of Murcia, Spain, where she teaches courses in financial markets and institutions and applied economics. Dr. Soto has published extensively in both Spanish and international journals in finance and economics, especially in the areas of interest rate risk management and related fixed income topics.