Interest rate risk modeling (Record no. 209939)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02088nam a2200385Ia 4500 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.6323 |
| 100 1# - MAIN ENTRY--AUTHOR NAME | |
| Personal name | Nawalkha, Sanjay K. |
| 245 10 - TITLE STATEMENT | |
| Title | Interest rate risk modeling |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication | Hoboken, N.J. : |
| Name of publisher | John Wiley, |
| Year of publication | c2005. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | xxvii, 396 p. : |
| Other physical details | ill. |
| 490 1# - SERIES STATEMENT | |
| Series statement | Wiley finance series |
| 505 0# - FORMATTED CONTENTS NOTE | |
| 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical Term | Interest rate risk |
| Topical Term | Bonds |
| Topical Term | Fixed-income securities |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Soto, Gloria M. |
| Personal name | Bel�i�aeva, Natal��i�a A. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://site.ebrary.com/lib/rucke/Doc?id=10114253 |
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