Risk Management, Mathematical Modeling - Business, Investing - Strategies, Mathematical Modeling - Economics

Pricing and Hedging Interest and Credit Risk Sensitive Instruments

Name: Pricing and Hedging Interest and Credit Risk Sensitive Instruments
Author: Frank Skinner
ISBN: 9780750662598

by Frank Skinner

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Overview

This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers.

To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD.

* Starts at an introductory level and then develops advanced topics
* Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models
* Can be used for self-study - a complete book on the topic, which includes examples with answers

Audience: Traders in fixed income products and their derivatives; Back office staff; Middle managers who are interested in catching up on what has been happening in the fixed income area over the last decade; and regulators and auditors who are responsible for monitoring investment bank activity.

About the Author, Frank Skinner

Dr. Frank S. Skinner is Director-Undergraduate Academic Programmes at the ISMA Centre for Education and Research in Security Markets, located at the University of Reading. He is an associate editor for the Journal of Bond Trading and Management and has published in leading academic and practitioner journals including the Journal of Banking and Finance, Journal of Fixed Income, and the Financial Analysts Journal. He has taught on the General Certificate Programme for ISMA for many years. He completed his PhD in Finance at the University of Toronto and has held full time appointments in Canada and at the Stern School of Business in the US. His research is focused on debt markets and instruments, and is in demand as a speaker and a consultant for numerous organisations.