Interest rate risk modeling : the fixed income valuation course /
| Основен автор: | Nawalkha, Sanjay K. |
|---|---|
| Други автори: | Soto, Gloria M., Beliaeva, Natalia A., 1975- |
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Hoboken, N.J. :
John Wiley,
℗♭2005.
|
| Серия: |
Wiley finance series.
|
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=133985 |
| Подобни документи: |
Print version::
Interest rate risk modeling. |
Съдържание:
- 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.