New Methods in Fixed Income Modeling

1. Front Matter

   Pages i-xii

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2. New Term Structure Modeling Approaches

   1. Front Matter

      Pages 1-1

      PDF

   2. Term Structure, Market Expectations of the Short Rate, and Expected Inflation

      • Jian Luo, Xiaoxia Ye

      Pages 3-34

   3. A New Approach to CIR Short-Term Rates Modelling

      • Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo

      Pages 35-43

   4. The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced

      • Robert J. Elliott, Tak Kuen Siu

      Pages 45-59

   5. Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Framework

      • Luca Di Persio, Nicola Gugole

      Pages 61-83

   6. An Overview of Post-crisis Term Structure Models

      • Marcus R. W. Martin

      Pages 85-97

   7. A Comparison of Estimation Techniques for the Covariance Matrix in a Fixed-Income Framework

      • Marco Neffelli, Marina Resta

      Pages 99-115

   8. The Term Structure Under Non-linearity Assumptions: New Methods in Time Series

      • José Carlos Vides, Jesús Iglesias, Antonio A. Golpe

      Pages 117-136

   9. Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Finance

      • Luca Di Persio, Luca Prezioso

      Pages 137-148

3. New Advances in Fixed Income Management

   1. Front Matter

      Pages 149-149

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   2. Sensitivity Analysis and Hedging in Stochastic String Models

      • Alberto Bueno-Guerrero, Manuel Moreno, Javier F. Navas

      Pages 151-167

   3. Hedging Asian Bond Options with Malliavin Calculus Under Stochastic String Models

      • Alberto Bueno-Guerrero, Manuel Moreno, Javier F. Navas

      Pages 169-180

   4. Stochastic Recovery Rate: Impact of Pricing Measure’s Choice and Financial Consequences on Single-Name Products

      • Paolo Gambetti, Geneviève Gauthier, Frédéric Vrins

      Pages 181-203

   5. Dynamic Linkages Across Country Yield Curves: The Effects of Global and Local Yield Curve Factors on US, UK and German Yields

      • Laura Coroneo, Ian Garrett, Javier Sanhueza

      Pages 205-222

   6. Estimating the No-Negative-Equity Guarantee in Reverse Mortgages: International Sensitivity Analysis

      • Iván de la Fuente, Eliseo Navarro, Gregorio Serna

      Pages 223-239

   7. Institutional Versus Retail Investors’ Behavior Around Credit Rating News

      • Pilar Abad, Antonio Díaz, Ana Escribano, M. Dolores Robles

      Pages 241-261

   8. The Market and Individual Pricing Kernels Under No Arbitrage Asset Pricing Models

      • Thomas F. Cosimano, Jun Ma

      Pages 263-297

This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.

• Fixed Income Modeling
• Yield Management
• Risk Management
• Investment Banking
• Financial Derivatives
• investments and securities
• quantitative finance

• Department of Economics and Finance, College of Business Administration, University of Bahrain, Zallaq, Bahrain

  Mehdi Mili

• Department of Financial Economics and Accounting, Pablo de Olavide University, Seville, Spain

  Reyes Samaniego Medina

• Department of Financial Economics and Operations Management, University of Seville, Seville, Spain

  Filippo di Pietro

Mehdi Mili, PhD, is an Associate Professor at the University of Bahrain, Kingdom of Bahrain. Previously he was Head of the Research Department at the Central Bank of Tunisia. He received his Master in Finance from the University of Sfax, Tunisia, in 2002, and his PhD in Finance from the University of Sfax, Tunisia and the University of Poitiers, France, in 2008. His research interests include fixed income modeling, interest rate risk management, and structured products. Mehdi is a regular conference speaker and his research has been published in several international journals (e.g. Emerging Markets Review, Economic Modeling, Journal of Asset Management) and funded by the University of Sfax and the University of Bahrain.

Filippo Di Pietro, PhD, is an Associate Professor of Finance at the Department of Financial Economics and Operations Management, Universidad de Sevilla (Spain) and a contract agent at the Joint Research Center (European Commission). He teaches on financial derivatives markets and financial systems and markets at the undergraduate and graduate level. He received his Master’s degree in Finance from the University of Bologna (Italy), and his doctorate in Business Administration, with a specialization in Finance, from the Universidad de Sevilla. He has been a Visiting Professor at various European universities, and his current research interests include corporate finance, SMEs, risk management, innovation, and regional financial systems. 

His recent contributions have been published in Long Range Planning, the Journal of Financial Service Research, Journal of Small Business Economics, Regional Studies, Applied Economics Letters, Sustainability, and the Journal of Economics and Business.

Reyes Samaniego Medina, PhD, is a Senior Lecturer in Finance at the Pablo de Olavide University of Seville (Spain). She is currently a member of the Banking and Entrepreneurial Finance Research Group (https://www.upo.es/investiga/banef/) andhas been a visiting lecturer at e.g. the Centre of Quantitative Finance in London and the Leonard N. Stern School of Business in New York. She has published research articles in various journals, including the Journal of Banking and Finance, Journal of Business Economics and Management, and Journal of Economics and Business. Her main research interests are in the management and control of credit risk, the Basel Accords and capital structure.

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