ISBN 13 : 978-1-118-70919-1

Sommaire : Contributors : Yacine Aït-Sahalia, Pierluigi Balduzzi, Jules van Binsbergen, Michael W. Brandt, Damiano Brigo, Andrea Buraschi, Christopher Culp, Magnus Dahlquist, Alexander David, Jens Dick-Nielsen, Jefferson Duarte, Matthias Fleckenstein, Jean-Sébastien Fontaine, René Garcia, Henrik Hasseltoft, Robert L Kimmel, David Lando, Qing (Daphne) Liu, Hanno Lustig, Francis Longstaff, Gerardo Manzo, Doug McManus, Antonio Mele,Fabio Monet, Yoshiki Obayashi, Andrea Pallavicini, Carolin Pflueger, Ricardo Rebonato, David Sloth, Josephine M. Smith, Oleg Sydyak, Claudio Tebaldi, Luis M. Viceira, Paul Whelan

Notes on Contributors
Preface
Part I Fixed income markets

1 Fixed Income Markets: An Introduction
2 Money Market Instruments
3 Inflation-Adjusted Bonds and the Inflation Risk Premium
4 Mortgage-Related Securities (MRSs)

Part II Monetary policy and fixed income markets

5 Bond Markets and Monetary Policy
6 Bond Markets and Unconventional Monetary Policy

Part III Interest rate risk management

7 Interest Rate Risk Management and Asset Liability Management
8 Optimal Asset Allocation in Asset Liability Management

Part IV The predictability of bond returns

9 International Bond Risk Premia
10 Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
11 U.S. Treasury Market: The High-Frequency Evidence

Part V Advanced topics on term structure models and their estimation

12 Structural Affine Models for Yield Curve Modeling
13 The Econometrics of Fixed-Income Markets
14 Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound
15 The Economics of the Comovement of Stocks and Bonds

Part VI Derivatives: markets and pricing

16 Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework
17 Risk-Neutral Pricing: Trees
18 Discounting and Derivative Pricing Before and After the Financial Crisis: An Introduction

Part VII Advanced topics in derivatives pricing

19 Risk-Neutral Pricing: Monte Carlo Simulations
20 Interest Rate Derivatives and Volatility
21 Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach

Part VIII Corporate and sovereign bonds

22 Corporate Bonds
23 Sovereign Credit Risk
References
Index

Langue : Anglais

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque