Fixed Income Pricing

This chapter surveys the literature on fixed-income pricing models, including dynamic term structure models (DTSMs) and interest rate sensitive, derivative pricing models.(...)

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Year of publication:	2002-07-01
Authors:	Dai, Qiang ; Singleton, Kenneth
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY> / Credit & Debt Markets Research Program
Subject:	Festverzinsliches Wertpapier \| Fester Zins \| Preismodell \| price structure \| Risikozuschlag \| Preiskalkulation \| fair pricing \| Strukturmodell

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1 Introduction
2 Fixed-income Pricing in a Diffusion Setting
2.1 The Term Structure
3 DTSMs for Default-free Bonds
3.1 One-factor DTSMs
4 DTSMs with Jump Diffusions
5 DTSMs with Regime Shifts
6 DTSMs with Rating Migrations
6.1 Fractional Recovery ofMarket Value
7 Pricing of Fixed-Income Derivatives
7.1 Derivatives Pricing using DTSMs

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