Interest rate risk modeling the fixed income valuation course /
I tiakina i:
| Kaituhi matua: | |
|---|---|
| Kaituhi rangatōpū: | |
| Ētahi atu kaituhi: | , |
| Hōputu: | Tāhiko īPukapuka |
| Reo: | Ingarihi |
| I whakaputaina: |
Hoboken, N.J. :
John Wiley,
c2005.
|
| Rangatū: | Wiley finance series.
|
| Ngā marau: | |
| Urunga tuihono: | An electronic book accessible through the World Wide Web; click to view |
| Ngā Tūtohu: |
Tāpirihia he Tūtohu
Kāore He Tūtohu, Me noho koe te mea tuatahi ki te tūtohu i tēnei pūkete!
|
Rārangi ihirangi:
- 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.