Interest rate risk modeling the fixed income valuation course /
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| Ente Autore: | |
| Altri autori: | , |
| Natura: | Elettronico eBook |
| Lingua: | inglese |
| Pubblicazione: |
Hoboken, N.J. :
John Wiley,
c2005.
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| Serie: | Wiley finance series.
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| Soggetti: | |
| Accesso online: | An electronic book accessible through the World Wide Web; click to view |
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Sommario:
- 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.