Understanding and managing interest rate risks
By: Ren-Raw Chen.
Series: Series in mathematical finance ;; v. 1
Publisher: World Scientific
Published: 1996
Place of publication: Singapore; River Edge, N. J
Language: eng
Number of pages: 157
Subjects: Interest rate risk -- Mathematical models.; Financial futures -- Mathematical models.; Fixed-income securities -- Mathematical models.
Description: This book is a systematic summary of modern term structure theories and how interest-rate-contingent claims are priced under such theories. It is the first book on such an attempt. It reviews important term structure models and chooses one model to consistently demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also presents a complete process of model implementation from parameter estimation to hedging.

Examples are provided throughout.
Notes: Includes bibliographical references (p. [145]-153) and index.