TY  - BOOK
AU  - Nawalkha,Sanjay K.
AU  - Soto,Gloria M.
AU  - Beliaeva,Natalia A.
TI  - Interest rate risk modeling: the fixed income valuation course 
SN  - 0471427241 (cloth)
U1  - 332.6323 
PY  - 2005///
CY  - Hoboken, N.J.
PB  - John Wiley
KW  - Interest rate risk
KW  - Mathematical models
KW  - Bonds
KW  - Valuation
KW  - Fixed-income securities
N1  - 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
N2  - "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
ER  -