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book
BookPrinted Material
Author Nawalkha, Sanjay K.

Title Interest rate risk modeling : the fixed income valuation course / Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.

Publication Info. Hoboken, N.J. : John Wiley, [2005]
©2005

Call No.HG6024.5 .N39 2005 Accompanying CD-ROM at Circulation Desk.
LocationMoore Stacks

Item Status

Location Call No. Status OPAC Message Public Note Gift Note
 Moore Stacks  HG6024.5 .N39 2005    Available  ---
 Moore Stacks  HG6024.5 .N39 2005  CD-ROM    DUE 11-18-06 Billed  ---
Description xxvii, 396 pages : illustrations ; 24 cm + 1 computer disk (4.5").
Series Wiley finance series
Wiley finance series.
Bibliography Includes bibliographical references (pages 377-382) and index.
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.
System Details System requirements: 120 MHx or faster processor; 32 MB of total RAM, 64 MB recommended; CD-ROM drive.
Subject Interest rate risk -- Mathematical models.
Interest rate risk -- Mathematical models.
Interest rate risk.
Bonds -- Valuation -- Mathematical models.
Bonds -- Valuation -- Mathematical models.
Bonds.
Fixed-income securities -- Valuation -- Mathematical models.
Fixed-income securities.
Valuation.
Mathematical models.
Added Author Soto, Gloria M.
Beli͡aeva, N. A. (Natalʹi͡a Anatolʹevna)
Added Title Fixed income valuation course
ISBN 0471427241 cloth/cd-rom