Interest rate risk modeling the fixed income valuation course /

Interest rate risk modeling the fixed income valuation course /

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Bibliographic Details
Main Author: Nawalkha, Sanjay K.
Corporate Author: ebrary, Inc
Other Authors: Soto, Gloria M., Beli͡aeva, Natalʹi͡a A. (Natalʹi͡a Anatolʹevna), 1975-
Format: Electronic eBook
Language:English
Published: Hoboken, N.J. : John Wiley, c2005.
Series:Wiley finance series.
Subjects:
Interest rate risk > Mathematical models.
Bonds > Valuation > Mathematical models.
Fixed-income securities > Valuation > Mathematical models.
Electronic books.
Online Access:An electronic book accessible through the World Wide Web; click to view
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MARC

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020 |z 0471427241 (hbk. : cd-rom) 
035 |a (CaPaEBR)ebr10114253 
035 |a (OCoLC)133167886 
040 |a CaPaEBR  |c CaPaEBR 
050 1 4 |a HG6024.5  |b .N39 2005eb 
082 0 4 |a 332.6323  |2 22 
100 1 |a Nawalkha, Sanjay K. 
245 1 0 |a Interest rate risk modeling  |h [electronic resource] :  |b the fixed income valuation course /  |c Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva. 
246 3 0 |a Fixed income valuation course 
260 |a Hoboken, N.J. :  |b John Wiley,  |c c2005. 
300 |a xxvii, 396 p. :  |b ill. 
490 1 |a Wiley finance series 
504 |a Includes bibliographical references (p. 377-382) and index. 
505 0 |a 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. 
533 |a Electronic reproduction.  |b Palo Alto, Calif. :  |c ebrary,  |d 2013.  |n Available via World Wide Web.  |n Access may be limited to ebrary affiliated libraries. 
650 0 |a Interest rate risk  |x Mathematical models. 
650 0 |a Bonds  |x Valuation  |x Mathematical models. 
650 0 |a Fixed-income securities  |x Valuation  |x Mathematical models. 
655 7 |a Electronic books.  |2 local 
700 1 |a Soto, Gloria M. 
700 1 |a Beli͡aeva, Natalʹi͡a A.  |q (Natalʹi͡a Anatolʹevna),  |d 1975- 
710 2 |a ebrary, Inc. 
830 0 |a Wiley finance series. 
856 4 0 |u http://site.ebrary.com/lib/daystar/Doc?id=10114253  |z An electronic book accessible through the World Wide Web; click to view 
908 |a 170314 
942 0 0 |c EB 
999 |c 72060  |d 72060 

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