Skip to content
You are not logged in |Login  
Limit search to available items
Book Cover
Author Nawalkha, Sanjay K.

Title Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.

Publication Info. Hoboken, N.J. : John Wiley, [2005]


Location Call No. Status
 Rocky Hill - Downloadable Materials  EBSCO Ebook    Downloadable
Rocky Hill cardholders click here to access this title from EBSCO
Description 1 online resource (xxvii, 396 pages) : illustrations.
Series Wiley finance series
Wiley finance series.
Bibliography Includes bibliographical references (pages 377-382) and index.
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.
Note Print version record.
Subject Interest rate risk -- Mathematical models.
Bonds -- Valuation -- Mathematical models.
Fixed-income securities -- Valuation -- Mathematical models.
BUSINESS & ECONOMICS -- Investments & Securities -- Bonds.
Added Author Soto, Gloria M.
Beli︠a︡eva, N. A. (Natalʹi︠a︡ Anatolʹevna)
Added Title Fixed income valuation course
Other Form: Print version: Nawalkha, Sanjay K. Interest rate risk modeling. Hoboken, N.J. : John Wiley, ©2005 (DLC) 2005000048
ISBN 0471737445 (electronic bk.)
9780471737445 (electronic bk.)
Add a Review