Interest rate risk modeling : the fixed income valuation course /

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 ev...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Nawalkha, Sanjay K.
Otros Autores: Soto, Gloria M., Beliaeva, Natalia A., 1975-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, N.J. : John Wiley, ©2005.
Colección:Wiley finance series.
Temas:
Interest rate risk > Mathematical models.
Bonds > Valuation > Mathematical models.
Fixed-income securities > Valuation > Mathematical models.
Taux d'intérêt > Gestion du risque > Modèles mathématiques.
Obligations (Valeurs) > Évaluation > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > Bonds.
Bonds > Valuation > Mathematical models
Interest rate risk > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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