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Interest rate risk modeling : the fixed income valuation course

[NT 42944] Record Type:	[NT 1579] Language materials, printed : [NT 40817] monographic
[NT 47348] Title Information:	the fixed income valuation course
[NT 47261] Author:	NawalkhaSanjay K.,
[NT 47353] Alternative Intellectual Responsibility:	SotoGloria M.,
[NT 47353] Alternative Intellectual Responsibility:	BeliaevaNatalia A., 1975-
[NT 47351] Place of Publication:	Hoboken, N.J.
[NT 47263] Published:	J. Wiley;
[NT 47352] Year of Publication:	c2005.
[NT 47264] Description:	xxvii, 396 p.ill. : 24 cm.;
[NT 47298] Series:	Wiley finance series
[NT 47266] Subject:	Interest rate risk -
[NT 47266] Subject:	Fixed-income securities - Mathematical models. -
[NT 47266] Subject:	Bonds - Mathematical models -
[NT 50961] ISBN:	0471427241
[NT 60779] Content Note:	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.

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. : J. 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 interest-rate swaps and options: -- Key rate durations with var analysis -- Principal component model with var analysis -- Duration models for default-prone securities..
Includes bibliographical references and index..
ISBN 0471427241
Interest rate riskFixed-income securitiesBonds -- Mathematical models. -- Mathematical models

Soto, Gloria M.

Interest rate risk modeling : the fixed income valuation course
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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 interest-rate swaps and options: -- Key rate durations with var analysis -- Principal component model with var analysis -- Duration models for default-prone securities.
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