Title: Understanding and Managing Interest Rate Risks (Series in Mathematical Finance, V. 1)
Publisher: World Scientific Pub Co Inc
Publication Date: 1996
Language: English
ISBN 10: 9810227515
ISBN 13: 9789810227517
Binding: Paperback
Condition: Brand New

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Synopsis

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.

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