Interest rate risk modeling : the fixed income valuation course - Nawalkha, Sanjay K.; Soto, Gloria M.; Beliaeva, Natalia A., 1975- (Hoboken, N.J. : J. Wiley, 2005)
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
Includes bibliographical references and index
Keywords: Interest rate risk -- Mathematical models; Bonds -- Valuation -- Mathematical models; Fixed-income securities -- Valuation -- Mathematical models