Table of Contents

Preface. Acknowledgments. 1. Spot Interest Rates, Forward Interest Rates, Short Rate, and Yield-to-Maturity. 2. An Introduction to Valuation of Fixed and Interest-Sensitive Cash Flow. 3. Discrete-Time One-Factor Models. 4. Continuous-Time One-Factor Models. 5. Solution Approaches to Single-Factor Models. 6. Multi-Factor Continuous-Time Models. 7. Multi-Factor Discrete-Time Models. 8. Simulation Approaches. Bibliography. Solution to Practice Exercises. Index.

About the Author

David F. Babbel is a professor at the Wharton School at the University of Pennsylvania, a financial consultant for several large insurance companies. He has published prolifically in the academic and professional literature on asset/liability management, insurance, and fixed income investments. Craig B. Merrill is Associate Professor at Brigham Young University and the Grant Taggart Fellow of Insurance, Risk Management, and Financial Services.