03361nam 2200721Ia 450 991096784900332120200520144314.097866102770189781280277016128027701797804717374450471737445(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(Perlego)2761993(EXLCZ)99100000000035576120050104d2005 uy 0engur|n|---|||||txtccrInterest rate risk modeling the fixed income valuation course /Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva1st ed.Hoboken, N.J. John Wileyc20051 online resource (429 p.)Wiley finance seriesDescription based upon print version of record.9780471427247 0471427241 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.Fixed income valuation courseInterest rate riskMathematical modelsBondsValuationMathematical modelsFixed-income securitiesValuationMathematical modelsInterest rate riskMathematical models.BondsValuationMathematical models.Fixed-income securitiesValuationMathematical models.332.632383.03bclNawalkha Sanjay K1608827Soto Gloria M1608829Beliaeva Natalia A(Natalia Anatolevna),1975-1608828MiAaPQMiAaPQMiAaPQBOOK9910967849003321Interest rate risk modeling4363683UNINA