Understanding and managing interest rate risks /
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 pr...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore ; River Edge, N.J. :
World Scientific,
©1996.
|
| Series: | Series in mathematical finance ;
v. 1. |
| Subjects: | |
| Online Access: | CONNECT |
MARC
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| 100 | 1 | |a Chen, Ren-Raw. | |
| 245 | 1 | 0 | |a Understanding and managing interest rate risks / |c Ren-Raw Chen. |
| 260 | |a Singapore ; |a River Edge, N.J. : |b World Scientific, |c ©1996. | ||
| 300 | |a 1 online resource (xii, 157 pages :) : |b illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a data file |2 rda | ||
| 490 | 1 | |a Series in mathematical finance ; |v v. 1 | |
| 504 | |a Includes bibliographical references (pages 145-153) and index. | ||
| 505 | 0 | |a Ch. 1. Bond primer. 1.1. Bond valuation and yield to maturity. 1.2. The term structure of interest rates or yield curve. 1.3. Duration and convexity -- ch. 2. Term structure models. 2.1. Introduction to priced-by-arbitrage and risk-neutral pricing. 2.2. Single-factor models. 2.3. Multi-factor models. 2.4. Time-dependent parameter models. 2.5. Coupon bond -- ch. 3. Options and futures. 3.1. Futures and forward. 3.2. Bond options. 3.3. Bond futures option. 3.4. Bond forward option. 3.5. Conclusion -- ch. 4. Common interest rate contracts. 4.1. Eurodollar futures, options, and short-term interest rate options. 4.2. Treasury bond futures and the quality option. 4.3. Swaps. 4.4. Caps and floors. 4.5. Mortgage-backed securities -- ch. 5. Parameter estimation. 5.1. Simple regression. 5.2. Maximum likelihood estimation. 5.3. Generalized method of moments. 5.4. State space model with Kalman filtering. 5.5. Summary -- ch. 6. Hedging interest rate risks. 6.1. Introduction. 6.2. Delta-gamma hedging. 6.3. Single-factor hedging. 6.4. Multi-factor hedging. 6.5. Time dependent hedging. 6.6. Higher-order hedging. 6.7. An example -- ch. 7. Current problems and future research. 7.1. Introduction. 7.2. The current problems. 7.3. The Chen-Yang model. 7.5. Future research. | |
| 520 | |a 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. | ||
| 500 | |a EBSCO eBook Business Collection |5 TMurS | ||
| 500 | |a EBSCO eBook Academic Comprehensive Collection North America |5 TMurS | ||
| 650 | 0 | |a Interest rate risk |x Mathematical models. | |
| 650 | 0 | |a Financial futures |x Mathematical models. | |
| 650 | 0 | |a Fixed-income securities |x Mathematical models. | |
| 730 | 0 | |a WORLDSHARE SUB RECORDS | |
| 776 | 0 | 8 | |i Print version: |a Chen, Ren-Raw. |t Understanding and managing interest rate risks. |d Singapore ; River Edge, N.J. : World Scientific, ©1996 |w (DLC) 96009289 |
| 830 | 0 | |a Series in mathematical finance ; |v v. 1. | |
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| 952 | f | f | |a Middle Tennessee State University |b Main |c James E. Walker Library |d Electronic Resources |t 0 |e HG6024.5 .C47 1996eb |h Library of Congress classification |
