Interest rate risk modeling
the fixed income valuation course
Fixed income valuation course
Nawalkha, Sanjay K.
creator
Soto, Gloria M.
Bel�i�aeva, Natal��i�a A. (Natal��i�a Anatol�evna)
1975-
ebrary, Inc
text
bibliography
Electronic books.
nju
Hoboken, N.J
John Wiley
c2005
2005
monographic
eng
xxvii, 396 p. : ill.
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.
Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.
Includes bibliographical references (p. 377-382) and index.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
Interest rate risk
Mathematical models
Bonds
Valuation
Mathematical models
Fixed-income securities
Valuation
Mathematical models
HG6024.5 .N39 2005eb
332.6323
Wiley finance series
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