- Hardcover: 414 pages
- Publisher: John Wiley & Sons (13 Jan 2000)
- Language English
- ISBN-10: 0471254193
- ISBN-13: 978-0471254195
- Product Dimensions: 23.6 x 16.1 x 3.4 cm
- Amazon Bestsellers Rank: 2,382,902 in Books (See Top 100 in Books)
- See Complete Table of Contents
Advanced Fixed-Income Valuation Tools
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More About the Author
Product Description
H. Gifford Fong, President, Gifford Fong Associates, Editor, Financial Analysts Journal
"This is a thoughtfully organized compendium of a series of high-quality papers that should serve as an excellent resource describing cutting-edge research. Drs. Jegadeesh and Tuckman have put together a collection of first-rate authors considering timely and useful areas of some of the frontiers of fixed-income valuation."
Francis Longstaff, Professor of Finance, Anderson School at UCLA
"This book has an excellent mix of well-written survey papers and cutting-edge research on fixed-income modeling techniques. The strong practical flavor of the papers makes this collection invaluable in understanding this dynamic area of research."
Inside This Book
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First Sentence
Part I of this book is about convexity and interest rate risk premia. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Part I of this book is about convexity and interest rate risk premia. Read the first page
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Concordance
Browse Sample PagesConcordance
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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1 review
13 of 13 people found the following review helpful
A good introduction
9 Aug 2000
Format:Hardcover
It's basically a collection of dumbed-down review articles on modern fixed income. There's not as much in here on option pricing as I would have wished, and if you consider yourself a reasonable technical person who's seen any fixed income trading before, it's not going to be that helpful to you.
It's a nice SUMMARY of the literature available for those who don't have the time to read it all first-hand. Since my primary interest is more towards equity exotics, the book was more than satisfactory for me. I'd say the target audience is non-fixed income exotics traders, quants without much background in fixed income, and academics.
The best article in the book is probably the one written by Das. He's one of my favorite authors and his chapter in this book is no exception.
My main complaint is that many portions of the book INSIST on using econometric models and pricing kernels rather than the DiffEq framework. For that reason, I like Paul Wilmott's presentaion of the math a little better. I find myself constantly referring back to "Derivatives" and translating what the guys in this book are trying to say.
As with most books in the field, it is also very poor at describing the implementation of the models presented.
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