03219nam 2200649Ia 450 991045724310332120200520144314.01-280-27701-797866102770180-471-73744-5(CKB)1000000000355761(EBL)231727(OCoLC)133167886(SSID)ssj0000180848(PQKBManifestationID)11177728(PQKBTitleCode)TC0000180848(PQKBWorkID)10157750(PQKB)11281986(MiAaPQ)EBC231727(Au-PeEL)EBL231727(CaPaEBR)ebr10114253(CaONFJC)MIL27701(EXLCZ)99100000000035576120050104d2005 uy 0engur|n|---|||||txtccrInterest rate risk modeling[electronic resource] the fixed income valuation course /Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. BeliaevaHoboken, N.J. John Wileyc20051 online resource (429 p.)Wiley finance seriesDescription based upon print version of record.0-471-42724-1 Includes bibliographical references (p. 377-382) and index.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.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 provideWiley finance series.Interest rate riskMathematical modelsBondsValuationMathematical modelsFixed-income securitiesValuationMathematical modelsElectronic books.Interest rate riskMathematical models.BondsValuationMathematical models.Fixed-income securitiesValuationMathematical models.332.6323Nawalkha Sanjay K878026Soto Gloria M878028Beli͡aeva Natalʹi͡a A(Natalʹi͡a Anatolʹevna),1975-878027MiAaPQMiAaPQMiAaPQBOOK9910457243103321Interest rate risk modeling2168627UNINA