Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto |
Autore | Nawalkha Sanjay K |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2007 |
Descrizione fisica | 1 online resource (722 p.) |
Disciplina |
332.0151923
332.632 |
Altri autori (Persone) |
Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna)
SotoGloria M |
Collana | Wiley finance |
Soggetto topico |
Finance
Stochastic processes |
Soggetto genere / forma | Electronic books. |
ISBN |
1-119-20157-8
1-280-90029-6 9786610900299 0-470-14006-2 |
Classificazione | 85.30 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model. |
Record Nr. | UNINA-9910143408503321 |
Nawalkha Sanjay K
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Hoboken, N.J., : John Wiley & Sons, c2007 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto |
Autore | Nawalkha Sanjay K |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2007 |
Descrizione fisica | 1 online resource (722 p.) |
Disciplina |
332.0151923
332.632 |
Altri autori (Persone) |
Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna)
SotoGloria M |
Collana | Wiley finance |
Soggetto topico |
Finance
Stochastic processes |
ISBN |
1-119-20157-8
1-280-90029-6 9786610900299 0-470-14006-2 |
Classificazione | 85.30 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model. |
Record Nr. | UNINA-9910829919903321 |
Nawalkha Sanjay K
![]() |
||
Hoboken, N.J., : John Wiley & Sons, c2007 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto |
Autore | Nawalkha Sanjay K |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2007 |
Descrizione fisica | 1 online resource (722 p.) |
Disciplina |
332.0151923
332.632 |
Altri autori (Persone) |
Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna)
SotoGloria M |
Collana | Wiley finance |
Soggetto topico |
Finance
Stochastic processes |
ISBN |
1-119-20157-8
1-280-90029-6 9786610900299 0-470-14006-2 |
Classificazione | 85.30 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model. |
Record Nr. | UNINA-9910876779203321 |
Nawalkha Sanjay K
![]() |
||
Hoboken, N.J., : John Wiley & Sons, c2007 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Interest rate risk modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva |
Autore | Nawalkha Sanjay K |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2005 |
Descrizione fisica | 1 online resource (429 p.) |
Disciplina | 332.6323 |
Altri autori (Persone) |
SotoGloria M
Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna) |
Collana | Wiley finance series |
Soggetto topico |
Interest rate risk - Mathematical models
Bonds - Valuation - Mathematical models Fixed-income securities - Valuation - Mathematical models |
Soggetto genere / forma | Electronic books. |
ISBN |
1-280-27701-7
9786610277018 0-471-73744-5 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 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. |
Record Nr. | UNINA-9910457243103321 |
Nawalkha Sanjay K
![]() |
||
Hoboken, N.J., : John Wiley, c2005 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Interest rate risk modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva |
Autore | Nawalkha Sanjay K |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2005 |
Descrizione fisica | 1 online resource (429 p.) |
Disciplina | 332.6323 |
Altri autori (Persone) |
SotoGloria M
Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna) |
Collana | Wiley finance series |
Soggetto topico |
Interest rate risk - Mathematical models
Bonds - Valuation - Mathematical models Fixed-income securities - Valuation - Mathematical models |
ISBN |
1-280-27701-7
9786610277018 0-471-73744-5 |
Classificazione | 83.03 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 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. |
Record Nr. | UNINA-9910784415703321 |
Nawalkha Sanjay K
![]() |
||
Hoboken, N.J., : John Wiley, c2005 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Interest rate risk modeling : the fixed income valuation course / / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva |
Autore | Nawalkha Sanjay K |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2005 |
Descrizione fisica | 1 online resource (429 p.) |
Disciplina | 332.6323 |
Altri autori (Persone) |
SotoGloria M
BeliaevaNatalia A <1975-> (Natalia Anatolevna) |
Collana | Wiley finance series |
Soggetto topico |
Interest rate risk - Mathematical models
Bonds - Valuation - Mathematical models Fixed-income securities - Valuation - Mathematical models |
ISBN |
1-280-27701-7
9786610277018 0-471-73744-5 |
Classificazione | 83.03 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 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. |
Altri titoli varianti | Fixed income valuation course |
Record Nr. | UNINA-9910824569403321 |
Nawalkha Sanjay K
![]() |
||
Hoboken, N.J., : John Wiley, c2005 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|