Interest rate risk modeling : the fixed income valuation course

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名称	Interest rate risk modeling : the fixed income valuation course

索引号	F830.59/E20064
分类号	F830.59 F830.59(投资) F830.5(信贷) F830(金融、银行理论) F83(金融、银行) F8(财政、金融) F(经济)
作者	Nawalkha、 Sanjay K.、Soto、 Gloria M.、Beliaeva、 Natalia A.、 1975-、
出版社	Hoboken, N.J. : John Wiley, c2005.
ISBN
页数	xxvii, 396 p. : ill. ; 24 cm + 1 CD ROM (4 3/4 in.)
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简介
注解	CD ROM includes valuation and risk analysis spresadsheets 附註 Includes bibliographical references (p. 377-382) and index. 內容 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. System Details System requirements: 120 MHx or faster processor; 32 MB of total RAM, 64 MB recommended; CD-ROM drive.