Advanced fixed-income valuation tools / Narasimhan Jegadeesh and Bruce Tuckman.

Part I. Advanced fixed-income mathematics, 1 -- 1. Fixed-Income Subtleties and the Pricing of Long Bonds / Neil D. Pearson, 1 -- 2. Convexity Bias and the Yield Curve / Antti Ilmanen, 25 -- 3. Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation / Mark Grinblatt and Narasimhan Jegadeesh, 81 -- Part II. Term Structure Modeling, 81 -- 4. Discrete- Time Models of Bond Pricing / David Backus, Silverio Foresi, and Chris Telmer, 87 -- 5. Stochastic Mean Models of the Term Structure of Interest Rates / Pierluigi Balduzzi, Sanjiv Ranjan Das, Silverio Foresi, and Rangarajan K. Sundaram, 162 -- 6. Interest Rate Modeling with Jump-Diffusion Processes / Sanjiv Ranjan Das, 191 -- Part III. Other Risk Factors, 191 -- 7. Some Elements of Rating-Based Credit Risk Modeling / David Lando, 191 -- 8. Anatomy of Prepayments: The Salomon Brothers Prepayment Model / Lakhbir Hayre and Arvind Rajan, 216 -- 9. The Pricing and Hedging of Mortgage-Backed Securities: A Multivariate Density Estimation Approach / Jacob Boudoukh, Matthew Richardson, Richard Stanton, and Robert F. Whitelaw, 265 -- 10 The Muni Puzzle: Explanations and Implications for Investors / John M.R. Chalmers, 302 -- 11. Models of Currency Option Pricing / Gurdip Bakshi and Zhiwu Chen, 320 -- Part IV. Numerical Valuation Techniques, 345 -- 12. Exploring the Relation between Discrete-Time Jump Processes and the Finite Difference Method / Steve Heston and Guofu Zhou, 345 -- 13. Monte Carlo Methods for the Valuation of Interest Rate Securities / Leif Andersen and Phelim P. Boyle, 367 -- Index, 403.