Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.

Format:

Book

Author/Creator:

Nawalkha, Sanjay K.

Contributor:

Soto, Gloria M.

Beliaeva, Natalia A. (Natalia Anatolevna), 1975-

Series:

Wiley finance series.

Wiley finance series

Language:

English

Subjects (All):

Interest rate risk--Mathematical models.

Bonds--Valuation--Mathematical models.

Fixed-income securities--Valuation--Mathematical models.

Physical Description:

1 online resource (429 p.)

Edition:

1st ed.

Other Title:

Fixed income valuation course

Place of Publication:

Hoboken, N.J. : John Wiley, c2005.

Language Note:

English

Summary:

The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provide

Contents:

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.

Notes:

Description based upon print version of record.

Includes bibliographical references (p. 377-382) and index.

ISBN:

9786610277018

9781280277016

1280277017

9780471737445

0471737445

OCLC:

133167886