Interest rate risk modeling [electronic resource] : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.
By: Nawalkha, Sanjay K.
Contributor(s): Soto, Gloria M | Beliaeva, Natalia A. (Natalia Anatolevna) | ebrary, Inc.
Material type:
BookSeries: Wiley finance series: Publisher: Hoboken, N.J. : John Wiley, c2005Description: xxvii, 396 p. : ill.Other title: Fixed income valuation course.Subject(s): Interest rate risk -- Mathematical models | Bonds -- Valuation -- Mathematical models | Fixed-income securities -- Valuation -- Mathematical modelsGenre/Form: Electronic books.DDC classification: 332.6323 Online resources: An electronic book accessible through the World Wide Web; click to view Includes bibliographical references (p. 377-382) and index.
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.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2009. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
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