Advanced Fixed–Income Valuation Tools

ADVANCED FIXED–INCOME MATHEMATICS.
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<br /> Fixed–Income Subtleties and the Pricing of Long Bonds (N. Pearson).
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<br /> Convexity Bias and the Yield Curve (A. Ilmanen).
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<br /> Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation (M. Grinblatt &amp; N. Jegadeesh).
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<br /> TERM STRUCTURE MODELING.
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<br /> Discrete–Time Models of Bond Pricing (D. Backus, et al.).
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<br /> Stochastic Mean Models of the Term Structure of Interest Rates (P. Balduzzi, et al.).
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<br /> Interest Rate Modeling with Jump–Diffusion Processes (S. Das).
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<br /> OTHER RISK FACTORS.
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<br /> Some Elements of Rating–Based Credit Risk Modeling (D. Lando).
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<br /> Anatomy of Prepayments: The Salomon Brothers Prepayment Model (L. Hayre &amp; A. Rajan).
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<br /> The Pricing and Hedging of Mortgage–Backed Securities: A Multivariate Density Estimation Approach (J. Boudoukh, et al.).
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<br /> The Muni Puzzle: Explanations and Implications for Investors (J. Chalmers).
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<br /> Models of Currency Option Pricing (G. Bakshi &amp; Z. Chen).
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<br /> NUMERICAL VALUATION TECHNIQUES.
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<br /> Exploring the Relation between Discrete–Time Jump Processes and the Finite Difference Method (S. Heston &amp; G. Zhou).
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<br /> Monte Carlo Methods for the Valuation of Interest Rate Securities (L. Andersen &amp; P. Boyle).
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<br /> Index.