|aInterest rate risk modeling :|bthe fixed income valuation course /|cSanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva.
|aHoboken, N.J. :|bJohn Wiley & Sons,|cc2005.
|a396 p. ;|c24 cm. +|e1 CD-ROM.
|aWiley finance series
|aIncludes bibliographical references and index.
|aInterest rate risk modeling : an overview -- Bond price, duration, and convexity -- Estimation of the term structure of interest rates -- M-absolute and M-square risk measures -- Duration vector models -- Hedging with interest-rate futures -- Hedging with bond options: a general gaussian framework -- Hedging with interest-rate swaps and options: -- Key rate durations with var analysis -- Principal component model with var analysis -- Duration models for default-prone securities.