Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva
Series: Wiley finance seriesPublication details: Hoboken, N.J. : J. Wiley, 2005Description: xxvii, 396 p. ; 23 cmISBN:- 0471427241 (cloth/cd-rom)
- Fixed income valuation course
| Item type | Current library | Home library | Call number | Materials specified | Copy number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|---|---|
| AM | PERPUSTAKAAN TUN SERI LANANG | PERPUSTAKAAN TUN SERI LANANG KOLEKSI AM-P. TUN SERI LANANG (ARAS 5) | HG6024.5.N39 (Browse shelf(Opens below)) | 1 | Available | 00001469980 |
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
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