Understanding And Managing Interest Rate Risks (Series In Mathematical Finance 1)

Understanding And Managing Interest Rate Risks (Series In Mathematical Finance 1)

By: Ren-Raw Chen (author)Hardback

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Description

The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.

Contents

Term structure models; options and futures; common interest rate contracts; parameter estimation; hedging interest rate risks; current problems and future research.

Product Details

  • ISBN13: 9789810227517
  • Format: Hardback
  • Number Of Pages: 176
  • ID: 9789810227517
  • ISBN10: 9810227515

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