利率风险模式 INTEREST RATE RISK MODELING
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作者： Sanjay K. Nawalkha著
出 版 社： 吉林长白山
出版时间： 2005-1-1字数：版次： 1页数： 305印刷时间： 2005/12/01开本：印次：纸张： 胶版纸I S B N ： 9780471427247包装： 精装编辑推荐
作者简介：
Sanjay K. Nawalkha, PhD, is Associate Professor of Finance at the University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, especially in the areas of fixed income and asset pricing. He is the coeditor of the book Interest Rate Risk Measurement and Management, published by Institutional Investor. Dr. Nawalkha is also the President and founder of Nawalkha and Associates.
内容简介
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
目录
List of Figures
List of Tables
Chapter 1: Interest Rate Risk Modeling: An Overview
Duration and Convexity Models
M-Absolute and M-Square Models
Duration Vector Models
Key Rate Duration Models
Principal Component Duration Models
Applications to Financial Institutions
Interaction with Other Risks
Notes
Chapter 2: Bond Price, Duration, and Convexity
Bond Price under Continuous Compounding
Duration
Convexity
Common Fallacies Concerning Duration and Convexity
Formulas for Duration and Convexity
Appendix 2.1: Other Fallacies Concerning Duration and Convexit
Notes
Chapter 3: Estimation of the Term Structure of Interest Rates
Bond Prices, Spot Rates, and Forward Rates
Term Structure Estimation: The Basic Methods
Advance Methods in Term Structure Estimation
Notes
Chapter 4: M-Absolute and M-Square Risk Measures
Measuring Term Structure Shifts
M-Absolute versus Duration
M-Square versus Convexity
Closed-Form Solutions for M-Square and M-Absolute
Appendix 4.1: Derivation of the M-Absolute and M-Square Models
Appendix 4.2: Two-Term Taylor-Series-Expansion Approach to the M-Square Model
Notes
Chapter 5: Duration Vector Models
The Duration Vector Model
Generalized Duration Vector Models
Appendix 5.1: Derivation of the Generalized Duration Vector Models
Notes
Chapter 6: Hedging with Interest-Rate Futures
Eurodollar Futures
Treasury Bill Futures
Treasury Bond Futures
Treasury Note Futures
Appendix 6.1: The Duration Vector of the Eurodollar Futures
Appendix 6.2: The Duration Vector of the T-Bond Futures
Notes
Chapter 7: Hedging with Bond Options: A General Gaussian Framework
A General Gaussian Framework for Pricing Zero-Coupon Bond Options
The Duration Vectors of Bond Options
The Duration Vector of Callable Bonds
Estimation of Duration Vectors Using Non-Gaussian Term Structure Models
The Durations of European Options on Coupon Bonds and Callable Coupon Bonds
Chapter 8: Hedging with Swaps and Interest Rate Options Using the LIBOR Market Model
A Simple Introduction to Interest Rate Swaps
Motivations for Interest Rate Swaps
Pricing and Hedging with Interest Rate Swaps
Forward Rate Agreements
Pricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market Model
Interest Rate Swaptions
Numerical Analysis
Notes
Chapter 9: Key Rate Durations with VaR Analysis
Key Rate Changes
Key Rate Durations and Convexities
Risk Measurement and Management
Key Rate Durations and Value at Risk Analysis
Limitations of the Key Rate Model
Appendix 9.1: Computing Key Rate Risk Measures for Complex Securities and under Maturity Mismatches
Notes
Chapter 10: Principal Component Model with VaR Analysis
From Term Structure Movements to Principal Components
Principal Component Durations and Convexities
Risk Measurement and Management with the Principal Component Model
VaR Analysis Using the Principal Component Model
Limitations of the Principal Component Model
Applications to Mortgage Securities
Appendix 10.1: Eigenvectors, Eigenvalues, and Principal Components
Appendix 10.2: Computing Principal Component Risk Measures for Complex Securities and under Maturity Mismatches
Notes
Chapter 11: Duration Models for Default-Prone Securities
Pricing and Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model
The Asset Duration
Pricing and Duration of a Default-Prone Zero-Coupon Bond: The Merton Framework
Pricing and Duration of a Default-Prone Coupon Bond: The First Passage Models
Appendix 11.1: Collin-Dufresne and Goldstein Model
Notes
References
About the CD-ROM
Index
