An edition of Interest rate risk modeling (2005)

Interest rate risk modeling

the fixed income valuation course

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Cover of: Interest rate risk modeling by Sanjay K. Nawalkha
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An edition of Interest rate risk modeling (2005)

Interest rate risk modeling

the fixed income valuation course

by

  • 0 Ratings
  • 2 Want to read
  • 0 Currently reading
  • 0 Have read

The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena. Note: CD-ROM/DVD and other supplementary materials are not included.

Publish Date
Publisher
J. Wiley, John Wiley & Sons
Language
English
Pages
396

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Previews available in: English

Subjects
Bonds, Business, Finance, Fixed-income securities, Interest rate risk, Mathematical models, Nonfiction, Valuation, Risk assessment

Showing 4 featured editions. View all 4 editions?

Edition Availability
Cover of: Interest Rate Risk Modeling
Interest Rate Risk Modeling: The Fixed Income Valuation Course
2007, Wiley & Sons, Incorporated, John
in English
Libraries near you: WorldCat
Cover of: Interest Rate Risk Modeling
Interest Rate Risk Modeling
2005, Wiley & Sons, Incorporated, John
in English
Libraries near you: WorldCat
Cover of: Interest Rate Risk Modeling
Interest Rate Risk Modeling
2005, John Wiley & Sons, Ltd.
Electronic resource in English
Libraries near you: WorldCat
Cover of: Interest rate risk modeling
Interest rate risk modeling: the fixed income valuation course
2005, J. Wiley, John Wiley & Sons
in English
Libraries near you: WorldCat

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Book Details

Published in

Hoboken, N.J

Table of 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.

Edition Notes

Includes bibliographical references and index.

Series
Wiley finance series
Other Titles
Fixed income valuation course

Classifications

Dewey Decimal Class
332.63/23
Library of Congress
HG6024.5 .N39 2005, HG6024.5.N39 2005

The Physical Object

Pagination
p. cm.
Number of pages
396

ID Numbers

Open Library
OL3391617M
Internet Archive
interestraterisk0000nawa
ISBN 10
0471427241
LCCN
2005000048
OCLC/WorldCat
57373894
Library Thing
7123787
Goodreads
1840506

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History

Download catalog record: RDF / JSON
August 19, 2020 Edited by ImportBot import existing book
July 22, 2019 Edited by MARC Bot remove fake subjects
December 5, 2010 Edited by Open Library Bot Added subjects from MARC records.
June 17, 2010 Edited by ImportBot add details from OverDrive
December 10, 2009 Created by WorkBot add works page