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Advanced Fixed-Income Valuation Tools

Advanced Fixed-Income Valuation Tools

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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; 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.

"This is a thoughtfully organized compendium of a series of high-quality papers thatshould serve as an excellent resource describing cutting-edge research. Drs. Jegadeesh and Tuckman have put together a collection of first-rate authors considering timelyand useful areas of some of the frontiers of fixed-income valuation." -H. Gifford Fong President, Gifford Fong Associates President Editor, Financial Analysts Journal

"This book has an excellent mix of well-written survey papers and cutting-edge research on fixed-income modeling techniques. The strong practical flavor of the papers makes this collection invaluable in understanding this dynamic area of research."-Francis Longstaff Professor of Finance, Anderson School at UCLA

"Jegadeesh and Tuckman have done an excellent job of selecting papers that bridge the gap between the new developments in fixed-income models and the practitioners' needs. This collection of papers goes beyond the treatment of fixed-income analytics found in other textbooks. It will be useful for interest rate modelers and fixed-income specialists as well as for academics looking for a summary of the recent advances in the field."

Yacine Ait-Sahalia

Professor, Princeton University and Director, Bendheim Center in Finance

"This excellent collection of articles ushers the reader into the forefront of advanced fixed-income valuation theory. Researchers will find the cutting-edge material stimulating and the abundance of contemporary references informative. Practitioners will particularly benefit from the attentive treatment of default risk and tax effects-important components of value that are seldom given due cognizance."

-Andrew Kalotay, PhD Member, Fixed-Income Analysts Society Hall of Fame President, Andrew Kalotay Associates, Inc.