Interest rate risk modeling the fixed income valuation course /
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| Main Author: | |
|---|---|
| Corporate Author: | |
| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken, N.J. :
John Wiley,
c2005.
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| Series: | Wiley finance series.
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| Subjects: | |
| Online Access: | An electronic book accessible through the World Wide Web; click to view |
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| 020 | |z 0471427241 (hbk. : cd-rom) | ||
| 035 | |a (CaPaEBR)ebr10114253 | ||
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| 040 | |a CaPaEBR |c CaPaEBR | ||
| 050 | 1 | 4 | |a HG6024.5 |b .N39 2005eb |
| 082 | 0 | 4 | |a 332.6323 |2 22 |
| 100 | 1 | |a Nawalkha, Sanjay K. | |
| 245 | 1 | 0 | |a Interest rate risk modeling |h [electronic resource] : |b the fixed income valuation course / |c Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva. |
| 246 | 3 | 0 | |a Fixed income valuation course |
| 260 | |a Hoboken, N.J. : |b John Wiley, |c c2005. | ||
| 300 | |a xxvii, 396 p. : |b ill. | ||
| 490 | 1 | |a Wiley finance series | |
| 504 | |a Includes bibliographical references (p. 377-382) and index. | ||
| 505 | 0 | |a 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. | |
| 533 | |a Electronic reproduction. |b Palo Alto, Calif. : |c ebrary, |d 2013. |n Available via World Wide Web. |n Access may be limited to ebrary affiliated libraries. | ||
| 650 | 0 | |a Interest rate risk |x Mathematical models. | |
| 650 | 0 | |a Bonds |x Valuation |x Mathematical models. | |
| 650 | 0 | |a Fixed-income securities |x Valuation |x Mathematical models. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 700 | 1 | |a Soto, Gloria M. | |
| 700 | 1 | |a Beli͡aeva, Natalʹi͡a A. |q (Natalʹi͡a Anatolʹevna), |d 1975- | |
| 710 | 2 | |a ebrary, Inc. | |
| 830 | 0 | |a Wiley finance series. | |
| 856 | 4 | 0 | |u http://site.ebrary.com/lib/daystar/Doc?id=10114253 |z An electronic book accessible through the World Wide Web; click to view |
| 908 | |a 170314 | ||
| 942 | 0 | 0 | |c EB |
| 999 | |c 72060 |d 72060 | ||