Research Catalog

Title

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

Author

Nawalkha, Sanjay K.

Publication

Hoboken, N.J. : John Wiley, c2005. +

Items in the Library & Off-site

Details

Additional Authors

• Soto, Gloria M.
• Beliaeva, Natalia A., 1975-

Description

xxvii, 396 p. : ill.; 24 cm.

Series Statement

Wiley finance series

Alternative Title

Fixed income valuation course

Subjects

• Interest rate risk > Mathematical models
• Fixed-income securities > Valuation > Mathematical models
• Bonds > Valuation > Mathematical models

Bibliography (note)

• Includes bibliographical references (p. 377-382) and index.

System Details (note)

• System requirements: 120 MHx or faster processor; 32 MB of total RAM, 64 MB recommended; CD-ROM drive.

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.

Call Number

JBE 06-415

ISBN

0471427241 (cloth/cd-rom)

LCCN

2005000048

OCLC

• 57373894
• vendorOCM57373894

Author

Nawalkha, Sanjay K.

Title

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

Imprint

Hoboken, N.J. : John Wiley, c2005. + 1 CD-ROM.

Series

Wiley finance series

Bibliography

Includes bibliographical references (p. 377-382) and index.

System Details

System requirements: 120 MHx or faster processor; 32 MB of total RAM, 64 MB recommended; CD-ROM drive.

Connect to:

Table of contents

Added Author

Soto, Gloria M.

Beliaeva, Natalia A., 1975-

Research Call Number

JBE 06-415 [Text]

*WSC-4715 [CD-ROM]