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Interest rate risk modeling the fixed income valuation course /

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Dades bibliogràfiques
Autor principal: Nawalkha, Sanjay K.
Autor corporatiu: ebrary, Inc
Altres autors: Soto, Gloria M., Beli͡aeva, Natalʹi͡a A. (Natalʹi͡a Anatolʹevna), 1975-
Format: Electrònic eBook
Idioma:anglès
Publicat: Hoboken, N.J. : John Wiley, c2005.
Col·lecció:Wiley finance series.
Matèries:
Interest rate risk > Mathematical models.
Bonds > Valuation > Mathematical models.
Fixed-income securities > Valuation > Mathematical models.
Electronic books.
Accés en línia:An electronic book accessible through the World Wide Web; click to view
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Taula de continguts:
  • 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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