Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.
2005
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Details
Author
Uniform Title
Ebrary electronic monographs.
Title
Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.
Added Corporate Author
Imprint
Hoboken, N.J. : John Wiley, [2005]
Copyright
©2005
Description
xxvii, 396 pages : illustrations.
Series
Wiley finance series.
Formatted Contents Note
Interest rate risk modeling : an overview
Bond price, duration, and convexity
Estimation of the term structure of interest rates
M-absolute and M-square risk measures
Duration vector models
Hedging with interest-rate futures
Hedging with bond options: a general gaussian framework
Hedging with interest-rate swaps and options:
Key rate durations with var analysis
Principal component model with var analysis
Duration models for default-prone securities.
Bond price, duration, and convexity
Estimation of the term structure of interest rates
M-absolute and M-square risk measures
Duration vector models
Hedging with interest-rate futures
Hedging with bond options: a general gaussian framework
Hedging with interest-rate swaps and options:
Key rate durations with var analysis
Principal component model with var analysis
Duration models for default-prone securities.
Bibliography, etc. Note
Includes bibliographical references (pages 377-382) and index.
Linked Resources
Language
English
Reproduction
Electronic reproduction. Palo Alto, Calif. : ebrary, 2006. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
ISBN
0471427241 hardback cd-rom
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