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**Book Resources**

CD-ROM with numerous formulas and programming tools that allow readers to play with the models and value fixed income securities

**Online Resources**

This is the second book of the trilogy on a fixed-income valuation course by Wiley finance. This trilogy covers the following three areas of fixed-income valuation: 1. Interest rate risk modeling. 2. Term structure modeling. 3. Credit risk modeling. Unlike other books in fixed income valuation, which are either too rigorous but mathematically demanding or easy-to-read but lacking in important details, our goal is to provide readability with sufficient rigor... read more

Chapter 1. A Simple Introduction to Continuous-Time Stochastic Processes

Chapter 2. Arbitrage-Free Valuation

Chapter 3. Valuing Interest Rate and Credit Derivatives: Basic Pricing Frameworks

Chapter 4. Fundamental and Preference-Free Single-Factor Gaussian Models

Chapter 5. Fundamental and Preference-Free Jump-Extended Gaussian Models

Chapter 6. The Fundamental Cox, Ingersoll, and Ross Model with Exponential and Lognormal Jumps

Chapter 7. Preference-Free CIR and CEV Models with Jumps

Chapter 8. Fundamental and Preference-Free Two-Factor Affine Models

Chapter 9. Fundamental and Preference-Free Multifactor Affine Models

Chapter 10. Fundamental and Preference-Free Quadratic Models

Chapter 11. The HJM Model

Chapter 12. The LIBOR Market Model... read more

"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.

This is a list of papers prepared by the authors and related to the contents of the book. They go into specific topics in greater depth or introduce related issues or analysis. Each link will guide you to the paper in the Social Science Research Network (SSRN) from where you can see the abstract and download the paper.

- A New Taxonomy of Dynamic Term Structure Models
- Efficient Trees for CIR and CEV Short Rate Models
- Pricing American Interest Rate Options Under the Jump-Extended Vasicek Model
- Pricing American Interest Rate Options Under Jump-Extended CIR and CEV Short Rate Models
- Pricing Credit Default Swaps Using Preference-Free Multifactor Affine and Quadratic Models
- Pricing Eurodollar/Euribor Futures Using Preference-Free Multifactor Affine and Quadratic Models