Okładka

Interest rate risk modeling the fixed income valuation course /

Zapisane w:
1. autor: Nawalkha, Sanjay K.
Korporacja: ebrary, Inc
Kolejni autorzy: Soto, Gloria M., Beli͡aeva, Natalʹi͡a A. (Natalʹi͡a Anatolʹevna), 1975-
Format: Elektroniczne E-book
Język:angielski
Wydane: Hoboken, N.J. : John Wiley, c2005.
Seria:Wiley finance series.
Hasła przedmiotowe:
Interest rate risk > Mathematical models.
Bonds > Valuation > Mathematical models.
Fixed-income securities > Valuation > Mathematical models.
Electronic books.
Dostęp online:An electronic book accessible through the World Wide Web; click to view
Etykiety: Dodaj etykietę
Nie ma etykietki, Dołącz pierwszą etykiete!
Spis treści:
  • 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 zapisy