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Interest risk modeling
the fixed income valuation course

  • ISBN: 9780471427247
  • Editorial: John Wiley & Sons Limited
  • Lugar de la edición: Hoboken. None
  • Colección: Wiley Finance
  • Encuadernación: Cartoné
  • Medidas: 23 cm
  • Nº Pág.: 396
  • Idiomas: Inglés

Papel: Cartoné
78,88 €
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Resumen

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. ÍNDICE: Chapter 1: Interest Rate Risk Modeling: An Overview. Chapter 2: Bond Price, Duration, and Convexity. Chapter 3: Estimation of the Term Structure of Interest Rates. Chapter 4: M-Absolute and M-Square Risk Measures. Chapter 5: Duration Vector Models. Chapter 6: Hedging with Interest-Rate Futures. Chapter 7: Hedging with Bond Options: A General Gaussian Framework. Chapter 8: Hedging with Swaps and Interest Rate Options Using the LIBOR Market Model. Chapter 9: Key Rate Durations with VaR Analysis. Chapter 10: Principal Component Model with VaR Analysis. Chapter 11: Duration Models for Default-Prone Securities.

Resumen

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