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Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM
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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.
CHAPTER 1. A Simple Introduction to Continuous-Time Stochastic Processes.
CHAPTER 2. Arbitrage-Free Valuation.
CHAPTER 3. Valuing Interest Rate and Credit Derivatives: Basic Pricing Frameworks.
CHAPTER 4. Fundamental and Preference-Free Single-Factor Gaussian Models.
CHAPTER 5. Fundamental and Preference-Free Jump-Extended Gaussian Models.
CHAPTER 6. The Fundamental Cox, Ingersoll, and Ross Model with Exponential and Lognormal Jumps.
CHAPTER 7. Preference-Free CIR and CEV Models with Jumps.
CHAPTER 8. Fundamental and Preference-Free Two-Factor Affine Models.
CHAPTER 9. Fundamental and Preference-Free Multifactor Affine Models.
CHAPTER 10. Fundamental and Preference-Free Quadratic Models.
CHAPTER 11. The HJM Forward Rate Model.
CHAPTER 12. The LIBOR Market Model.
References.
[此贴子已经被作者于2007-12-13 22:13:53编辑过]
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