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Published: 19 February 2015

576 Pages | 40 Figures and 24 Tables


ISBN: 9780198716440

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Fixed Income Modelling

Claus Munk

  • Emphasizes the relation between fixed income models and economic theory
  • Formal mathematical modelling made accessible to readers with limited mathematical training. Includes a chapter on the relevant aspects of stochastic processes and careful economic interpretations of mathematical expressions
  • Each chapter includes a set of exercises making it easy for readers to test their knowledge
  • In-depth coverage of general pricing principles and techniques and of the main models and securities
  • Features chapters on interest rate risk management, credit risk, mortgage-backed securities, and numerical methods

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