Advanced Fixed-Income Valuation Tools

In response to intense competition and higher market volatility, players in the fixed income market now demand increasingly sophisticated valuation tools. Until recently, a basic understanding of duration and convexity or the ability to use simple, one factor term structure models was enough to distinguish one from the crowd. Now, this knowledge is practically de rigueur. Cutting edge players today need a deep understanding of how convexity and risk premia affect bond yields and returns; of how multi factor term structure models can improve hedging performance; and of how to improve the accuracy and efficiency of Monte Carlo analysis, etc. This book brings together contributions from twenty four finance professionals and academics from top investment banks, consulting firms, and universities. Going well beyond the basics, Advanced Fixed Income Valuation Tools brings the reader some of the most advanced thinking in the field. Topics covered in this book include: The effects of convexity and risk premia on bond yields, forward and future rates, and expected returns The similarities and differences among term structure models Multi factor models and models with jumps Modeling credit risk Prepayment modeling and MBS pricing The Muni Treasury spread Foreign currency options Efficient numerical valuation techniques Advanced Fixed Income Valuation Tools arms the reader with the knowledge and tools needed to succeed in the competitive and rapidly evolving field of quantitative fixed income investing and trading.