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Book Cover
E-book
Author Nawalkha, Sanjay K.

Title Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva
Published Hoboken, N.J. : John Wiley, ©2005

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Description 1 online resource (xxvii, 396 pages) : illustrations
Series Wiley finance series
Wiley finance series.
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
Summary The definitive guide to fixed income valuation and risk analysisThe Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides r
Bibliography Includes bibliographical references (pages 377-382) and index
Notes Print version record
Subject Interest rate risk -- Mathematical models
Bonds -- Valuation -- Mathematical models
Fixed-income securities -- Valuation -- Mathematical models
BUSINESS & ECONOMICS -- Investments & Securities -- Bonds.
Bonds -- Valuation -- Mathematical models
Interest rate risk -- Mathematical models
Form Electronic book
Author Soto, Gloria M.
Beliaeva, Natalia A., 1975-
LC no. 2005000048
ISBN 0471427241
9780471427247
0471737445
9780471737445
Other Titles Fixed income valuation course