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Interest rate risk modeling : : the fixed income valuation course /

紀錄類型:	書目-語言資料,印刷品 : 單行本
副題名:	the fixed income valuation course /
作者:	NawalkhaSanjay K,
合作者:	SotoGloria M,
合作者:	BeliaevaNatalia A.,, 1975-
出版地:	Hoboken, N.J. :
出版者:	John Wiley,;
出版年:	c2005.
面頁冊數:	xxvii, 396 p. :ill. ; : 24 cm; 1 CD ROM (4 3/4 in.)+
集叢名:	Wiley finance series
標題:	Interest rate risk; - Mathematical models -
標題:	Bonds; - Valuation -
標題:	Fixed-income securities; - Valuation -
附註:	CD ROM includes valuation and risk analysis spresadsheets ;
ISBN:	0471427241
內容註:	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 swaps and interest-rate options using the LIBOR market model -- Key rate durations with VaR analysis -- Principal component model with VaR analysis -- Duration models for default-prone securities

Interest rate risk modeling : : the fixed income valuation course /
Nawalkha, Sanjay K

Interest rate risk modeling : : the fixed income valuation course / / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva - Hoboken, N.J. : : John Wiley,, c2005.. - xxvii, 396 p. : ; ill. ; ; 24 cm. - (Wiley finance series).
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 swaps and interest-rate options using the LIBOR market model -- Key rate durations with VaR analysis -- Principal component model with VaR analysis -- Duration models for default-prone securities.
CD ROM includes valuation and risk analysis spresadsheets ;.
Includes bibliographical references (p. 377-382) and index.
ISBN 0471427241
Interest rate risk;Bonds;Fixed-income securities; -- Mathematical models -- Valuation -- Valuation

Soto, Gloria M

Interest rate risk modeling : : the fixed income valuation course /
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200 1 $a Interest rate risk modeling : $e the fixed income valuation course / $f Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva
210 $a Hoboken, N.J. : $d c2005. $c John Wiley,
215 1 $a xxvii, 396 p. : $c ill. ; $d 24 cm $e 1 CD ROM (4 3/4 in.)
225 2 $a Wiley finance series
300 $a CD ROM includes valuation and risk analysis spresadsheets ;
320 $a Includes bibliographical references (p. 377-382) and index
327 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 swaps and interest-rate options using the LIBOR market model -- Key rate durations with VaR analysis -- Principal component model with VaR analysis -- Duration models for default-prone securities
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410 0 $1 200 $a Wiley finance series
517 1 $a Fixed income valuation course
606 $a Interest rate risk; $x Mathematical models $3 126451
606 $a Bonds; $x Valuation $x Mathematical models $3 126449
606 $a Fixed-income securities; $x Valuation $x Mathematical models $3 126450
676 $a 332.63/23 $v 21
700 $a Nawalkha $b Sanjay K $3 126446
701 $a Soto $b Gloria M $3 126448
701 $a Beliaeva $b Natalia A., $f 1975- $3 126447