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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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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Add this copy of Understanding and Managing Interest Rate Risks to cart. $43.32, like new condition, Sold by Media Smart rated 4.0 out of 5 stars, ships from Hawthorne, CA, UNITED STATES, published 1996 by World Scientific Publishing Company, Incorporated.
Add this copy of Understanding and Managing Interest Rate Risks (Series to cart. $88.34, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Santa Clarita, CA, UNITED STATES, published 1996 by Wspc.
