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E-RESOURCE
Author Nawalkha, Sanjay K.

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

Published Hoboken, N.J. : John Wiley, c2005.

Copies

Location Call No. Status
 UniM INTERNET resource    AVAILABLE
Physical description xxvii, 396 p. : ill.
Series Wiley finance series
Wiley finance series.
Bibliography Includes bibliographical references (p. 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.
Reproduction Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
Other author Soto, Gloria M.
Beli︠a︡eva, Natalʹi︠a︡ A. (Natalʹi︠a︡ Anatolʹevna), 1975-
ProQuest (Firm)
Subject Interest rate risk -- Mathematical models.
Bonds -- Valuation -- Mathematical models.
Fixed-income securities -- Valuation -- Mathematical models.
Electronic books.
Variant Title Fixed income valuation course
ISBN 0471427241 (hbk. : cd-rom)