02088nam a2200385Ia 4500 ebr10114253 CaPaEBR m u cr cn||||||||| 050104s2005 njua sb 001 0 eng d 2005000048 0471427241 (hbk. : cd-rom) CaPaEBR CaPaEBR (OCoLC)133167886 HG6024.5 .N39 2005eb 332.6323 22 Nawalkha, Sanjay K. Interest rate risk modeling [electronic resource] : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva. Fixed income valuation course Hoboken, N.J. : John Wiley, c2005. xxvii, 396 p. : ill. Wiley finance series Includes bibliographical references (p. 377-382) and index. 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. 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. Electronic books. local Soto, Gloria M. Bel�i�aeva, Natal��i�a A. (Natal��i�a Anatol�evna), 1975- ebrary, Inc. Wiley finance series. http://site.ebrary.com/lib/rucke/Doc?id=10114253 An electronic book accessible through the World Wide Web; click to view 209939 209939