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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| 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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Table of 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.