Interest Rate Risk Modeling ：The Fixed Income Valuation Course ( Wiley Finance )

Publication subTitle ：The Fixed Income Valuation Course

Publication series ：Wiley Finance

Author： Sanjay K. Nawalkha  

Publisher： John Wiley & Sons Inc‎

Publication year： 2005

E-ISBN: 9780471737445

P-ISBN(Hardback):  9780471427247

Subject： F830.91 Securities Market

Language： ENG

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Description

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.

Chapter

Preface

pp.：  1 – 9

Acknowledgments

pp.：  9 – 13

Contributors

pp.：  13 – 15

Contents

pp.：  15 – 17

List of Figures

pp.：  17 – 23

List of Tables

pp.：  23 – 27

Chapter 1: Interest Rate Risk Modeling: An Overview

pp.：  27 – 33

Chapter 2: Bond Price, Duration, and Convexity

pp.：  33 – 48

Chapter 3: Estimation of the Term Structure of Interest Rates

pp.：  48 – 76

Chapter 4: M-Absolute and M-Square Risk Measures

pp.：  76 – 108

Chapter 5: Duration Vector Models

pp.：  108 – 143

Chapter 6: Hedging with Interest-Rate Futures

pp.：  143 – 175

Chapter 7: Hedging with Bond Options: A General Gaussian Framework

pp.：  175 – 212

Chapter 8: Hedging with Swaps and Interest Rate Options Using the LIBOR Market Model

pp.：  212 – 250

Chapter 9: Key Rate Durations with VaR Analysis

pp.：  250 – 296

Chapter 10: Principal Component Model with VaR Analysis

pp.：  296 – 326

Chapter 11: Duration Models for Default-Prone Securities

pp.：  326 – 360

References

pp.：  360 – 409

About the CD-ROM

pp.：  409 – 415

Index

pp.：  415 – 419

LastPages

pp.：  419 – 429

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