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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.
Sanjay K. Nawalkha, PhD, is Associate Professor of Finance at the University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, especially in the areas of fixed income and asset pricing. He is the coeditor of the book Interest Rate Risk Measurement and Management, published by Institutional Investor. Dr. Nawalkha is also the President and founder of Nawalkha and Associates. Gloria M. Soto, PhD, is Professor of Applied Economics and Finance at the University of Murcia, Spain. Dr. Soto has published extensively in both Spanish and international journals in finance, especially in the areas of interest rate risk management and related fixed income topics. She is also a partner at Nawalkha and Associates. Natalia A. Beliaeva holds an MS in computer science (artificial intelligence) and expects to receive her PhD in finance from the University of Massachusetts Amherst in 2005. Ms. Beliaeva's expertise is in the area of applied numerical methods for pricing fixed income derivatives.
List of Figures. List of Tables. Chapter 1: Interest Rate Risk Modeling: An Overview. Duration and Convexity Models. M-Absolute and M-Square Models. Duration Vector Models. Key Rate Duration Models. Principal Component Duration Models. Applications to Financial Institutions. Interaction with Other Risks. Notes. Chapter 2: Bond Price, Duration, and Convexity. Bond Price under Continuous Compounding. Duration. Convexity. Common Fallacies Concerning Duration and Convexity. Formulas for Duration and Convexity. Appendix 2.1: Other Fallacies Concerning Duration and Convexity. Notes. Chapter 3: Estimation of the Term Structure of Interest Rates. Bond Prices, Spot Rates, and Forward Rates. Term Structure Estimation: The Basic Methods. Advance Methods in Term Structure Estimation. Notes. Chapter 4: M-Absolute and M-Square Risk Measures. Measuring Term Structure Shifts. M-Absolute versus Duration. M-Square versus Convexity. Closed-Form Solutions for M-Square and M-Absolute. Appendix 4.1: Derivation of the M-Absolute and M-Square Models. Appendix 4.2: Two-Term Taylor-Series-Expansion Approach to the M-Square Model. Notes. Chapter 5: Duration Vector Models. The Duration Vector Model. Generalized Duration Vector Models. Appendix 5.1: Derivation of the Generalized Duration Vector Models. Notes. Chapter 6: Hedging with Interest-Rate Futures. Eurodollar Futures. Treasury Bill Futures. Treasury Bond Futures. Treasury Note Futures. Appendix 6.1: The Duration Vector of the Eurodollar Futures. Appendix 6.2: The Duration Vector of the T-Bond Futures. Notes. Chapter 7: Hedging with Bond Options: A General Gaussian Framework. A General Gaussian Framework for Pricing Zero-Coupon Bond Options. The Duration Vectors of Bond Options. The Duration Vector of Callable Bonds. Estimation of Duration Vectors Using Non-Gaussian Term Structure Models. The Durations of European Options on Coupon Bonds and Callable Coupon Bonds. Chapter 8: Hedging with Swaps and Interest Rate Options Using the LIBOR Market Model. A Simple Introduction to Interest Rate Swaps. Motivations for Interest Rate Swaps. Pricing and Hedging with Interest Rate Swaps. Forward Rate Agreements. Pricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market Model. Interest Rate Swaptions. Numerical Analysis. Notes. Chapter 9: Key Rate Durations with VaR Analysis. Key Rate Changes. Key Rate Durations and Convexities. Risk Measurement and Management. Key Rate Durations and Value at Risk Analysis. Limitations of the Key Rate Model. Appendix 9.1: Computing Key Rate Risk Measures for Complex Securities and under Maturity Mismatches. Notes. Chapter 10: Principal Component Model with VaR Analysis. From Term Structure Movements to Principal Components. Principal Component Durations and Convexities. Risk Measurement and Management with the Principal Component Model. VaR Analysis Using the Principal Component Model. Limitations of the Principal Component Model. Applications to Mortgage Securities. Appendix 10.1: Eigenvectors, Eigenvalues, and Principal Components. Appendix 10.2: Computing Principal Component Risk Measures for Complex Securities and under Maturity Mismatches. Notes. Chapter 11: Duration Models for Default-Prone Securities. Pricing and Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model. The Asset Duration. Pricing and Duration of a Default-Prone Zero-Coupon Bond: The Merton Framework. Pricing and Duration of a Default-Prone Coupon Bond: The First Passage Models. Appendix 11.1: Collin-Dufresne and Goldstein Model. Notes. References. About the CD-ROM. Index.
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