Slika na naslovnici

Interest rate risk modeling the fixed income valuation course /

Shranjeno v:
Bibliografske podrobnosti
Glavni avtor: Nawalkha, Sanjay K.
Korporativna značnica: ebrary, Inc
Drugi avtorji: Soto, Gloria M., Beli͡aeva, Natalʹi͡a A. (Natalʹi͡a Anatolʹevna), 1975-
Format: Elektronski eKnjiga
Jezik:angleščina
Izdano: Hoboken, N.J. : John Wiley, c2005.
Serija:Wiley finance series.
Teme:
Interest rate risk > Mathematical models.
Bonds > Valuation > Mathematical models.
Fixed-income securities > Valuation > Mathematical models.
Electronic books.
Online dostop:An electronic book accessible through the World Wide Web; click to view
Oznake: Označite
Brez oznak, prvi označite!
Kazalo:
  • 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.

Podobne knjige/članki