Fixed Income Modelling (Hardcover)

1. Introduction and overview
2. Extracting Yield Curves from Bond Prices
3. Stochastic Processes and Stochastic Calculus
4. A Review of General Asset Pricing Theory
5. The Economics of the Term Structure of Interest Rates
6. Fixed Income Securities
7. One-factor Diffusion Models
8. Multi-factor Diffusion Models
9. Calibration of Diffusion Models
10. Heath-Jarrow-Morton Models
11. Market models
12. The Measurement and Management of Interest Rate Risk
13. Defaultable Bonds and Credit Derivatives
14. Mortgages and Mortgage-backed Securities
15. Stock and Currency Derivatives when Interest Rates are Stochastic
16. Numerical Techniques