Valuations of Interest-Sensitive Financial Instruments provides in-depth analysis of the development and underpinnings of models that are essential to the financial analyst or valuation actuary. Complete coverage includes: spot and forward interest rates, discrete- and continuous-time one-factor models, multi-factor discrete- and continuous-time models, and simulation approaches.
Valuation of Interest-Sensitive Financial Instruments
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Book Description
Editorial Reviews
From the Back Cover
Valuations of Interest-Sensitive Financial Instruments provides in-depth analysis of the development and underpinnings of models that are essential to the financial analyst or valuation actuary. Complete coverage includes: spot and forward interest rates, discrete- and continuous-time one-factor models, multi-factor discrete- and continuous-time models, and simulation approaches.
About the Author
David F. Babbel is a professor at the Wharton School at the University of Pennsylvania, a financial consultant for several large insurance companies. He has published prolifically in the academic and professional literature on asset/liability management, insurance, and fixed income investments.
Craig B. Merrill is Associate Professor at Brigham Young University and the Grant Taggart Fellow of Insurance, Risk Management, and Financial Services.
Craig B. Merrill is Associate Professor at Brigham Young University and the Grant Taggart Fellow of Insurance, Risk Management, and Financial Services.
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Most Helpful Customer Reviews
3 of 3 people found the following review helpful:
5.0 out of 5 stars
Best Valuation Book on the Market,
By Daniel Abrams (New York, NY United States) - See all my reviews
This review is from: Valuation of Interest-Sensitive Financial Instruments: SOA Monograph M-FI96-1 (Paperback)
This book is a superb and thorough introduction to fixed income theory and modeling. It is both logical and intuitive. A must for every student of finance.
2 of 2 people found the following review helpful:
5.0 out of 5 stars
Excellent Book for learning interest rate model,
By
This review is from: Valuation of Interest-Sensitive Financial Instruments: SOA Monograph M-FI96-1 (Paperback)
This is a very good book on interest rate model. It goes through the interest rate theory and implementation from scratch. Definitely worth buying for beginners.
2 of 2 people found the following review helpful:
5.0 out of 5 stars
This book contains all the essentials on Fixed Income,
By MBA, Ph.D From Univ of Pennsylvania (New York, New York) - See all my reviews
This review is from: Valuation of Interest-Sensitive Financial Instruments: SOA Monograph M-FI96-1 (Paperback)
Out of all the books I have read on Fixed Income Analytics, this one is the best. It gives you all the essentials that one needs to know for further study and research. This book uses only the suffucient amount of mathematics with tremendous practical examples making it useful to both who wants mathematical treatment and the one who prefers to know the practical applications(like traders etc). I have no doubt in my mind that this book have been written by the experts in this subject.
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Inside This Book
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First Sentence:
In this chapter we distinguish between four types of interest rates that are sometimes confused with each other. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
rate contingent securities, binomial branching model, trinomial lattice method, interest rate contingent security, second stochastic factor, multiplicative binomial model, terminal value condition, consol rate, current short rate, financial institution liabilities, short rate process, interest rate contingent claims, interest rate paths, recombining lattice, future short rates, implied forward rates, primitive assets, valuation equation, interest rate process, forward rate curve, contingent cash flows, redundant securities, volatility parameter, entire term structure, spot rates Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of Finance, Journal of Financial Economics, Monte Carlo, Review of Financial Studies, Alan White, New York, End Notes, Fabozzi Associates, Practice Exercises, Financial Analysts Journal, Irwin Press, Journal of Derivatives, Journal of Portfolio Management, Mathematical Finance, Theory of Financial Decision Making, Englewood Cliffs, Short Rate Lattice, Stanford University, Valuing Derivative Securities Using the Explicit, Burr Ridge, Graduate School of Business, Jonathan Ingersoll, New Approach, Prentice Hall, Pricing Interest Rate Derivative Securities New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Back Cover | Surprise Me!
In this chapter we distinguish between four types of interest rates that are sometimes confused with each other. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
rate contingent securities, binomial branching model, trinomial lattice method, interest rate contingent security, second stochastic factor, multiplicative binomial model, terminal value condition, consol rate, current short rate, financial institution liabilities, short rate process, interest rate contingent claims, interest rate paths, recombining lattice, future short rates, implied forward rates, primitive assets, valuation equation, interest rate process, forward rate curve, contingent cash flows, redundant securities, volatility parameter, entire term structure, spot rates Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of Finance, Journal of Financial Economics, Monte Carlo, Review of Financial Studies, Alan White, New York, End Notes, Fabozzi Associates, Practice Exercises, Financial Analysts Journal, Irwin Press, Journal of Derivatives, Journal of Portfolio Management, Mathematical Finance, Theory of Financial Decision Making, Englewood Cliffs, Short Rate Lattice, Stanford University, Valuing Derivative Securities Using the Explicit, Burr Ridge, Graduate School of Business, Jonathan Ingersoll, New Approach, Prentice Hall, Pricing Interest Rate Derivative Securities New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Back Cover | Surprise Me!
Citations (learn more)
This book cites 22
books:
See all 22 books this book cites
6
books
cite this book:
See all 6 books citing this book
- Theory of Financial Decision Making by Jonathan E. Ingersoll on 4 pages
- Option Pricing (The Irwin series in finance) by Robert A. Jarrow on 4 pages
- Fixed Income Securities by Frank J. Fabozzi CFA on page 10, page 122, and page 128
- Financial Markets, Instruments, and Institutions by Anthony M. Santomero on page 9, page 109, and page 125
- Derivative Securities by Robert Jarrow on page 53, page 67, and page 129
See all 22 books this book cites
- Investment Management for Insurers (Frank J. Fabozzi Series) by David F. Babbel on page 354, and Back Matter
- Selected Topics in Bond Portfolio Management (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA in Back Cover
- Modeling the Market: New Theories and Techniques by Sergio M. Focardi in Back Cover
- Credit Union Investment Management (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA in Back Matter
- Pension Fund Investment Management, 2nd Edition by Frank J. Fabozzi CFA in Back Cover
See all 6 books citing this book
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