Average Reviews:
(More customer reviews)I came across this book in my library and decided to buy it after browsing it. What I like about it is that it gives all the explicit formula for analytical affine DTSM, such as multifactor Vasicek model, multifactor CIR model, and mixed Vasicek-CIR model, as well as the risk neutral models (+, ++ and +++) models. A lot of detail in close to 700 pages. Very useful as a reference. The book also gives tree implementations of DTSM but personally I have not used them.
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Praise for Dynamic Term Structure Modeling"This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan DasProfessor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives"Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Talebauthor, Dynamic Hedging and The Black Swan"Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models."--Pierre Collin-DufresneAssociate Professor of Finance, UC Berkeley"The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation."--Thomas S. Y. Ho, PHDPresident, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
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