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Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.

By: Nawalkha, Sanjay K.
Contributor(s): Soto, Gloria M | Beliaeva, Natalia A, 1975-.
Series: Wiley finance series. Publisher: Hoboken, N.J. : John Wiley, c2005Description: xxvii, 396 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4in.).ISBN: 0471427241 (cloth).Other title: Fixed income valuation course.Subject(s): Interest rate risk -- Mathematical models | Bonds -- Valuation -- Mathematical models | Fixed-income securities -- Valuation -- Mathematical modelsDDC classification: 332.6323
Contents:
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.
Summary: "Written by fixed income specialists Sanjay Nawalkha, Gloria Soto, and Natalia Beliaeva, Interest Rate Risk Modeling offers a detailed introduction to the various modeling techniques used by today's fixed income professionals. Whether you're measuring the non-parallel durations of a naked call option, adjusting the notional amounts in swaps and caps using the LIBOR market model, or computing the durations of default-prone bonds using the cutting-edge first-passage probability models, this book has what you need to succeed in a volatile interest rate environment. It examines the latest innovations in the area of interest rate risk management and provides a detailed look at the most widely used models in this field, including duration, convexity, M-absolute, M-square, duration vector, key rate durations, principal component durations, and others." "Interest Rate Risk Modeling also illustrates the applications of these models to regular bonds, callable bonds, T-Bill futures, T-Bond futures, Eurodollar futures, interest rate swaps, forward rate agreements, bond options, yield options (caps, floors, and collars), swaptions, mortgage-backed securities, and default-prone coupon bonds." "Accompanying the authors' in-depth insights and practical advice found within these pages is an information-packed CD-ROM that can show a term structure "movie" or estimate yield curves in seconds, in addition to solving the advanced risk management models. This electronic companion contains Excel/VBA spreadsheets for hands-on analysis, using various models presented in the book. Through a user-friendly format, these spreadsheets compute non-parallel interest rate risk measures for a variety of interest rate derivatives, and can implement passive portfolio strategies, such as immunization and index replication, or speculative strategies based upon expected yield curve movements."--BOOK JACKET.
Item type Current location Call number Copy number Status Notes Date due Barcode
Accompanying Material (Media Resource) Taylor's Library-TU
332.6323 NAW (Browse shelf) 1 Available GENLS,GENLS,03,GR 1000513412
Accompanying Material (Media Resource) Taylor's Library-TU
332.6323 NAW (Browse shelf) 1 Available SLASx,05000,03,CL 1000512415

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.

"Written by fixed income specialists Sanjay Nawalkha, Gloria Soto, and Natalia Beliaeva, Interest Rate Risk Modeling offers a detailed introduction to the various modeling techniques used by today's fixed income professionals. Whether you're measuring the non-parallel durations of a naked call option, adjusting the notional amounts in swaps and caps using the LIBOR market model, or computing the durations of default-prone bonds using the cutting-edge first-passage probability models, this book has what you need to succeed in a volatile interest rate environment. It examines the latest innovations in the area of interest rate risk management and provides a detailed look at the most widely used models in this field, including duration, convexity, M-absolute, M-square, duration vector, key rate durations, principal component durations, and others." "Interest Rate Risk Modeling also illustrates the applications of these models to regular bonds, callable bonds, T-Bill futures, T-Bond futures, Eurodollar futures, interest rate swaps, forward rate agreements, bond options, yield options (caps, floors, and collars), swaptions, mortgage-backed securities, and default-prone coupon bonds." "Accompanying the authors' in-depth insights and practical advice found within these pages is an information-packed CD-ROM that can show a term structure "movie" or estimate yield curves in seconds, in addition to solving the advanced risk management models. This electronic companion contains Excel/VBA spreadsheets for hands-on analysis, using various models presented in the book. Through a user-friendly format, these spreadsheets compute non-parallel interest rate risk measures for a variety of interest rate derivatives, and can implement passive portfolio strategies, such as immunization and index replication, or speculative strategies based upon expected yield curve movements."--BOOK JACKET.