Research Catalog
Understanding and managing interest rate risks
- Title
- Understanding and managing interest rate risks / Ren-Raw Chen.
- Author
- Chen, Ren-Raw.
- Publication
- Singopore ; River Edge, N. J. : World Scientific, 1996.
Items in the Library & Off-site
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1 Item
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | HG6024.5 .C47 1996 | Off-site |
Holdings
Details
- Description
- xii, 157 pages; 23 cm.
- Summary
- This book is a systematic summary of modern term structure theories and how interest-rate-contingent claims are priced under such theories. It is the first book on such an attempt. It reviews important term structure models and chooses one model to consistently demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also presents a complete process of model implementation from parameter estimation to hedging.
- Examples are provided throughout.
- Series Statement
- Series in mathematical finance ; v. 1
- Uniform Title
- Series in mathematical finance ; v. 1.
- Subjects
- Bibliography (note)
- Includes bibliographical references and index.
- ISBN
- 9810227515
- LCCN
- 96009289
- OCLC
- 34905991
- ocm34905991
- Owning Institutions
- Columbia University Libraries