书名：Interest rate risk modeling 出版社：John Wiley & Sons 作者：SANJAY K. NAWALKHA 时间：2005年版 大小：4.02M 428页 格式：PDF 目录：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 theLIBOR 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 |