Sanjay K. Nawalkha, PhD, is an Associate Professor of Finance at the Isenberg School of Management, University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, and is the President and founder of Nawalkha and Associates—a fixed income training and consulting firm.
Natalia A.Beliaeva, PhD, is an Assistant Professor of Finance at the Sawyer Business School, Suffolk University, Boston. She also holds a master's degree in computer science (artificial intelligence) from the University of Massachusetts Amherst. Dr. Beliaeva's expertise is in the area of applied numerical methods for pricing fixed income derivatives.

Gloria M.Soto, PhD, is a Professor of Applied Economics and Finance at the University of Murcia, Spain, where she teaches courses in financial markets and institutions and applied economics. Dr. Soto has published extensively in both Spanish and international journals in finance and economics, especially in the areas of interest rate risk management and related fixed income topics.

CHAPTER 1. A Simple Introduction to Continuous-Time Stochastic Processes.

CHAPTER 2. Arbitrage-Free Valuation.

CHAPTER 3. Valuing Interest Rate and Credit Derivatives: Basic Pricing Frameworks.

CHAPTER 4. Fundamental and Preference-Free Single-Factor  Gaussian Models.

CHAPTER 5. Fundamental and Preference-Free Jump-Extended Gaussian Models.

CHAPTER 6. The Fundamental Cox, Ingersoll, and Ross Model with Exponential and Lognormal Jumps.

CHAPTER 7. Preference-Free CIR and CEV Models with Jumps.

CHAPTER 8. Fundamental and Preference-Free Two-Factor Affine Models.

CHAPTER 9. Fundamental and Preference-Free Multifactor Affine Models.

CHAPTER 10. Fundamental and Preference-Free Quadratic Models.

CHAPTER 11. The HJM Forward Rate Model.

CHAPTER 12. The LIBOR Market Model.

References.