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Interest rate risk modeling : the fixed income valuation course

紀錄類型:	書目-語言資料,印刷品 : 單行本
副題名:	the fixed income valuation course
作者:	NawalkhaSanjay K.,
合作者:	SotoGloria M.,
合作者:	BeliaevaNatalia A., 1975-
出版地:	Hoboken, N.J.
出版者:	J. Wiley;
出版年:	c2005.
面頁冊數:	xxvii, 396 p.ill. : 24 cm.;
集叢名:	Wiley finance series
標題:	Interest rate risk -
標題:	Fixed-income securities - Mathematical models. -
標題:	Bonds - Mathematical models -
ISBN:	0471427241
內容註:	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.

Interest rate risk modeling : the fixed income valuation course
Nawalkha, Sanjay K.

Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva. - Hoboken, N.J. : J. Wiley, c2005.. - xxvii, 396 p. ; ill. ; 24 cm.. - (Wiley finance series).
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..
ISBN 0471427241
Interest rate riskFixed-income securitiesBonds -- Mathematical models. -- Mathematical models

Soto, Gloria M.

Interest rate risk modeling : the fixed income valuation course
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