Pricing and hedging interest and credit risk sensitive instruments /

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This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulator...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Skinner, Frank, 1957-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford [England] ; Burlington, MA : Elsevier Butterworth-Heinemann, 2005.
Temas:
Hedging (Finance)
Interest rates > Mathematical models.
Credit > Management > Mathematical models.
Risk management > Mathematical models.
Couverture (Finances)
Taux d'intérêt > Modèles mathématiques.
Crédit > Gestion > Modèles mathématiques.
Gestion du risque > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Credit > Management > Mathematical models
Interest rates > Mathematical models
Risk management > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • An Introduction to Interest Rate and Credit Sensitive Instruments; The Sovereign Term Structure and the Risk Structure of Interest Rates; Measuring the Existing Sovereign Term Structure and the Risk Structure of Interest Rates; Modelling the Sovereign Term Structure of Interest Rates: The Binomial Approach; Interest Rate Modelling: The term structure consistent approach; Interest and Credit Risk Modelling; Hedging Sovereign Bonds: The Traditional Approach; Active and Passive Strategies; Alternative Hedge Ratios; Pricing and Hedging Non-Fixed Income Securities; Credit Derivatives; Embedded Options.

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