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Item Information       Summary     More Content     More by this author     Nawalkha, Sanjay K.     Subjects     Interest rate risk -- Mathematical models.     Bonds -- Valuation -- Mathematical models.     Fixed-income securities -- Valuation -- Mathematical models.     Browse Catalog     by author:      Nawalkha, Sanjay K.       by title:      Interest rate risk m...         MARC Display

Interest rate risk modeling [electronic resource] : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva. by Nawalkha, Sanjay K. Hoboken, N.J. : John Wiley, c2005. Subjects Interest rate risk -- Mathematical models.   Bonds -- Valuation -- Mathematical models.   Fixed-income securities -- Valuation -- Mathematical models. Electronic Resource http://hawaii.lib.overdrive.com/ContentDetails.htm?ID=BF0D1F09-0429-4388-BE32-4B3E15CADEE3 This title is available online; click here to access ISBN:  0471737445 (electronic bk. : Adobe Reader) Series:  Wiley finance series Description:  xxvii, 396 p. : ill. ; 24 cm. 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. Requests:  0   Copy/Holding information No Item Information

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