The second of three books in the Fixed Income Valuation Course, this book introduces dynamic term structure models for valuing fixed income securities and their derivatives. It covers affine/quadratic short rate models, the LIBOR/HJM forward rate models, and the unspanned stochastic volatility models. The companion CD-ROM features professional grade valuation software for a number of securities.
Sanjay K. Nawalkha, PhD (Amherst, MA), is Associate Professor of Finance at the Isenberg School of Management, University of Massachusetts, Amherst. Natalia A. Beliaeva, PhD (Amherst, MA), holds a masters degree in computer science and a PhD in finance from the University of Massachusetts, Amherst. Iuliana Ismailescu, MBA (Amherst, MA), is a PhD candidate in finance at the Isenberg School of Management, University of Massachusetts, Amherst. Gloria M. Soto, PhD (Murcia, Spain), is Professor of Applied Economics and Finance at the University of Murcia, Spain.
