Interest rate risk modeling the fixed income valuation course /
Gardado en:
| Autor Principal: | |
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| Autor Corporativo: | |
| Outros autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | inglés |
| Publicado: |
Hoboken, N.J. :
John Wiley,
c2005.
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| Series: | Wiley finance series.
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| Subjects: | |
| Acceso en liña: | An electronic book accessible through the World Wide Web; click to view |
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Table of Contents:
- 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.