Interest rate risk modeling
Subtitle: the fixed income valuation course
By: Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.
Contributors: Soto, Gloria M.; Beliaeva, Natalia A., 1975-
Series: Wiley finance series
Publisher: J. Wiley; John Wiley & Sons
Published: 2005
Place of publication: Hoboken, N.J
Language: eng
Number of pages: 396
Subjects: Interest rate risk -- Mathematical models.; Bonds -- Valuation -- Mathematical models; Fixed-income securities -- Valuation -- Mathematical models.
Other titles: Fixed income valuation course
Notes: Includes bibliographical references and index.
Table of contents: title: Interest rate risk modeling : an overview; title: Bond price, duration, and convexity; title: Estimation of the term structure of interest rates; title: M-absolute and M-square risk measures; title: Duration vector models; title: Hedging with interest-rate futures; title: Hedging with bond options: a general gaussian framework; title: Hedging with interest-rate swaps and options:; title: Key rate durations with var analysis; title: Principal component model with var analysis; title: Duration models for default-prone securities.