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