Ren-Raw Chen
UNDERSTANDING AND MANAGING INTEREST RATE RISKS
Gebonden Engels 1996 9789810227517Levertijd ongeveer 11 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9789810227517
Taal:Engels
Bindwijze:Gebonden
Aantal pagina's:176
Uitgever:World Scientific Publishing Co Pte Ltd
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Inhoudsopgave
Term structure models; options and futures; common interest rate contracts; parameter estimation; hedging interest rate risks; current problems and future research.
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