Interest rate risk modeling [electronic resource] : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.
Series: Wiley finance seriesPublication details: Hoboken, N.J. : John Wiley, c2005.Description: xxvii, 396 p. : illISBN:- 0471427241 (hbk. : cd-rom)
- Fixed income valuation course
- 332.6323 22
- HG6024.5 .N39 2005eb
eBooks
Includes bibliographical references (p. 377-382) 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.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.