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

By: Contributor(s): Series: Wiley finance seriesPublication details: Hoboken, N.J. : John Wiley, c2005.Description: xxvii, 396 p. : illOther title:
  • Fixed income valuation course
Subject(s): Genre/Form: DDC classification:
  • 332.6323 22
LOC classification:
  • HG6024.5 .N39 2005eb
Online resources:
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.
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E-Book Taylor's Library-TU 332.6323 (Browse shelf(Opens below)) e-book

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.

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Electronic reproduction. Palo Alto, Calif. : ebrary, 2009. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.