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Nawalkha, Sanjay K.

Interest rate risk modeling the fixed income valuation course / [electronic resource] : Fixed income valuation course Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva. - Hoboken, N.J. : John Wiley, c2005. - xxvii, 396 p. : ill. - Wiley finance series . - Wiley finance series. .

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,
2013.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.

ISBN:

LCCN:

Subjects--Topical Terms:
Interest rate risk--Mathematical models.
Bonds--Valuation--Mathematical models.
Fixed-income securities--Valuation--Mathematical models.

Index Terms--Genre/Form:
Electronic books.

LC Class. No.: HG6024.5 / .N39 2005eb

Dewey Class. No.: 332.6323