| 청구기호 |
HG6024.5 .N39 2005 |
| 다른형태 서명 |
Fixed income valuation course
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| 형태사항 |
xxvii, 396 p. : ill.
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| 언어 |
English |
| 서지주기 |
Includes bibliographical references (p. 377-382) and index.
|
| 내용 |
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.
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| 주제 |
Interest rate risk --Mathematical models.
Bonds --Valuation --Mathematical models.
Fixed-income securities --Valuation --Mathematical models.
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