| 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: |
J. Wiley; |
| 出版年: |
c2005. |
| 面頁冊數: |
xxvii, 396 p.ill. : 24 cm.; |
| 集叢名: |
Wiley finance series |
| 標題: |
Interest rate risk - |
| 標題: |
Fixed-income securities - Mathematical models. - |
| 標題: |
Bonds - Mathematical models - |
| 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 interest-rate swaps and options: -- Key rate durations with var analysis -- Principal component model with var analysis -- Duration models for default-prone securities. |