{"product_id":"interest-rate-risk-modeling-the-fixed-income-valuation-course-hardback-9780471427247","title":"Interest Rate Risk Modeling; The Fixed Income Valuation Course (Hardback) 9780471427247","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eInterest Rate Risk Modeling\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eThe Fixed Income Valuation Course\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eSanjay K. Nawalkha (Author), Gloria M. Soto (Author), Natalia A. Beliaeva (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780471427247, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 3 June 2005\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e432 pages, Drawings: 63 B\u0026amp;W, 0 Color; Tables: 70 B\u0026amp;W, 0 Color\u003cbr\u003e23.4 x 15.5 x 3.8 cm, 0.612 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eThe definitive guide to fixed income valuation and risk analysis  \u003cp\u003eThe 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.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eList of Figures.  \u003cp\u003eList of Tables.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1: Interest Rate Risk Modeling: An Overview.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDuration and Convexity Models.\u003c\/p\u003e \u003cp\u003eM-Absolute and M-Square Models.\u003c\/p\u003e \u003cp\u003eDuration Vector Models.\u003c\/p\u003e \u003cp\u003eKey Rate Duration Models.\u003c\/p\u003e \u003cp\u003ePrincipal Component Duration Models.\u003c\/p\u003e \u003cp\u003eApplications to Financial Institutions.\u003c\/p\u003e \u003cp\u003eInteraction with Other Risks.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2: Bond Price, Duration, and Convexity.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBond Price under Continuous Compounding.\u003c\/p\u003e \u003cp\u003eDuration.\u003c\/p\u003e \u003cp\u003eConvexity.\u003c\/p\u003e \u003cp\u003eCommon Fallacies Concerning Duration and Convexity.\u003c\/p\u003e \u003cp\u003eFormulas for Duration and Convexity.\u003c\/p\u003e \u003cp\u003eAppendix 2.1: Other Fallacies Concerning Duration and Convexity.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3: Estimation of the Term Structure of Interest Rates.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBond Prices, Spot Rates, and Forward Rates.\u003c\/p\u003e \u003cp\u003eTerm Structure Estimation: The Basic Methods.\u003c\/p\u003e \u003cp\u003eAdvance Methods in Term Structure Estimation.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4: M-Absolute and M-Square Risk Measures.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMeasuring Term Structure Shifts.\u003c\/p\u003e \u003cp\u003eM-Absolute versus Duration.\u003c\/p\u003e \u003cp\u003eM-Square versus Convexity.\u003c\/p\u003e \u003cp\u003eClosed-Form Solutions for M-Square and M-Absolute.\u003c\/p\u003e \u003cp\u003eAppendix 4.1: Derivation of the M-Absolute and M-Square Models.\u003c\/p\u003e \u003cp\u003eAppendix 4.2: Two-Term Taylor-Series-Expansion Approach to the M-Square Model.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5: Duration Vector Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Duration Vector Model.\u003c\/p\u003e \u003cp\u003eGeneralized Duration Vector Models.\u003c\/p\u003e \u003cp\u003eAppendix 5.1: Derivation of the Generalized Duration Vector Models.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6: Hedging with Interest-Rate Futures.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEurodollar Futures.\u003c\/p\u003e \u003cp\u003eTreasury Bill Futures.\u003c\/p\u003e \u003cp\u003eTreasury Bond Futures.\u003c\/p\u003e \u003cp\u003eTreasury Note Futures.\u003c\/p\u003e \u003cp\u003eAppendix 6.1: The Duration Vector of the Eurodollar Futures.\u003c\/p\u003e \u003cp\u003eAppendix 6.2: The Duration Vector of the T-Bond Futures.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7: Hedging with Bond Options: A General Gaussian Framework.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA General Gaussian Framework for Pricing Zero-Coupon Bond Options.\u003c\/p\u003e \u003cp\u003eThe Duration Vectors of Bond Options.\u003c\/p\u003e \u003cp\u003eThe Duration Vector of Callable Bonds.\u003c\/p\u003e \u003cp\u003eEstimation of Duration Vectors Using Non-Gaussian Term Structure Models.\u003c\/p\u003e \u003cp\u003eThe Durations of European Options on Coupon Bonds and Callable Coupon Bonds.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8: Hedging with Swaps and Interest Rate Options Using the LIBOR Market Model.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Simple Introduction to Interest Rate Swaps.\u003c\/p\u003e \u003cp\u003eMotivations for Interest Rate Swaps.\u003c\/p\u003e \u003cp\u003ePricing and Hedging with Interest Rate Swaps.\u003c\/p\u003e \u003cp\u003eForward Rate Agreements.\u003c\/p\u003e \u003cp\u003ePricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market Model.\u003c\/p\u003e \u003cp\u003eInterest Rate Swaptions.\u003c\/p\u003e \u003cp\u003eNumerical Analysis.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9: Key Rate Durations with VaR Analysis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eKey Rate Changes.\u003c\/p\u003e \u003cp\u003eKey Rate Durations and Convexities.\u003c\/p\u003e \u003cp\u003eRisk Measurement and Management.\u003c\/p\u003e \u003cp\u003eKey Rate Durations and Value at Risk Analysis.\u003c\/p\u003e \u003cp\u003eLimitations of the Key Rate Model.\u003c\/p\u003e \u003cp\u003eAppendix 9.1: Computing Key Rate Risk Measures for Complex Securities and under Maturity Mismatches.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10: Principal Component Model with VaR Analysis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFrom Term Structure Movements to Principal Components.\u003c\/p\u003e \u003cp\u003ePrincipal Component Durations and Convexities.\u003c\/p\u003e \u003cp\u003eRisk Measurement and Management with the Principal Component Model.\u003c\/p\u003e \u003cp\u003eVaR Analysis Using the Principal Component Model.\u003c\/p\u003e \u003cp\u003eLimitations of the Principal Component Model.\u003c\/p\u003e \u003cp\u003eApplications to Mortgage Securities.\u003c\/p\u003e \u003cp\u003eAppendix 10.1: Eigenvectors, Eigenvalues, and Principal Components.\u003c\/p\u003e \u003cp\u003eAppendix 10.2: Computing Principal Component Risk Measures for Complex Securities and under Maturity Mismatches.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11: Duration Models for Default-Prone Securities.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePricing and Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model.\u003c\/p\u003e \u003cp\u003eThe Asset Duration.\u003c\/p\u003e \u003cp\u003ePricing and Duration of a Default-Prone Zero-Coupon Bond: The Merton Framework.\u003c\/p\u003e \u003cp\u003ePricing and Duration of a Default-Prone Coupon Bond: The First Passage Models.\u003c\/p\u003e \u003cp\u003eAppendix 11.1: Collin-Dufresne and Goldstein Model.\u003c\/p\u003e \u003cp\u003eNotes.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003eAbout the CD-ROM.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" 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