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Understanding And Managing Interest Rate Risks

Language EnglishEnglish
Book Hardback
Book Understanding And Managing Interest Rate Risks R.-R. Chen
Libristo code: 05065527
Publishers World Scientific Publishing Co Pte Ltd, January 1996
The book is a systematic summary of modern term structure theories and how interest rate contingent... Full description
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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.

About the book

Full name Understanding And Managing Interest Rate Risks
Author R.-R. Chen
Language English
Binding Book - Hardback
Date of issue 1996
Number of pages 176
EAN 9789810227517
ISBN 9810227515
Libristo code 05065527
Publishers World Scientific Publishing Co Pte Ltd
Weight 358
Dimensions 157 x 218 x 15

Categories

Economics, Finance, Business & Management > Economics > Economic theory & philosophy
Mathematics & Science > Mathematics > Applied mathematics
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