Interest rate risk modeling : the fixed income valuation course /
Nawalkha, Sanjay K.
Interest rate risk modeling : the fixed income valuation course / Fixed income valuation course Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva - Hoboken, N.J. : J. Wiley, 2005 - xxvii, 396 p. ; 23 cm. - Wiley finance series .
Includes bibliographical references 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
0471427241 (cloth/cd-rom) RM265.50
Interest rate risk--Mathematical models
Bonds--Valuation--Mathematical models
Fixed-income securities--Valuation--Mathematical models
Interest rate risk modeling : the fixed income valuation course / Fixed income valuation course Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva - Hoboken, N.J. : J. Wiley, 2005 - xxvii, 396 p. ; 23 cm. - Wiley finance series .
Includes bibliographical references 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
0471427241 (cloth/cd-rom) RM265.50
Interest rate risk--Mathematical models
Bonds--Valuation--Mathematical models
Fixed-income securities--Valuation--Mathematical models