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Home > Financial Information Sources > Financial Modeling > Dynamic Term Structure Modeling: The Fixed Income Valuation Course

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Dynamic Term Structure Modeling: The Fixed Income Valuation Course

Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva
Wiley Finance Series
Hoboken, New Jersey: Wiley, 2007
683pp, ISBN: 978-0-471-73714-8
www.wiley.com

This is a thorough reference on modern dynamic term structure modeling and valuing fixed income derivatives, focusing on the practical implementation of the relevant models, supported by solution techniques using trees, PDE methods, Fourier methods, and approximations. It provides a description of the continuous time interest rate models, and presents equilibrium and no-arbitrage models in a new framework, and an analysis of the yield curve dynamics.

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Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM

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Praise for Dynamic Term Structure Modeling

"This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike."
--Sanjiv Ranjan Das
Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives

"Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point."
--Nassim Nicholas Taleb
author, Dynamic Hedging and The Black Swan

"Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models."
--Pierre Collin-Dufresne
Associate Professor of Finance, UC Berkeley

"The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation."
--Thomas S. Y. Ho, PHD
President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

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