Interest rate risk modeling : the fixed income valuation course / / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.
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Superior document: | Wiley finance series |
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TeilnehmendeR: | |
Year of Publication: | 2005 |
Language: | English |
Series: | Wiley finance series.
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Online Access: | |
Physical Description: | xxvii, 396 p. :; ill. |
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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. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest 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 | 4 | |a Electronic books. | |
700 | 1 | |a Soto, Gloria M. | |
700 | 1 | |a Beliaeva, Natalia A. |q (Natalia Anatolevna), |d 1975- | |
710 | 2 | |a ProQuest (Firm) | |
830 | 0 | |a Wiley finance series. | |
856 | 4 | 0 | |u https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=231727 |z Click to View |