gogo

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

By: Contributor(s): Material type: TextTextSeries: Wiley finance seriesPublication details: Hoboken, N.J. : John Wiley, c2005.Description: xxvii, 396 p. : illOther title:
  • Fixed income valuation course
Subject(s): Genre/Form: DDC classification:
  • 332.6323 22
LOC classification:
  • HG6024.5 .N39 2005
Online resources:
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.
Holdings
Item type Current library Call number Status Date due Barcode
Ebook TUS: Midlands, Main Library Athlone Online eBook (Browse shelf(Opens below)) Available

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. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.

Powered by Koha