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portada Understanding and Managing Interest Rate Risks
Type
Physical Book
Author
Publisher
Year
1996
Language
English
Pages
176
Format
Hardcover
Dimensions
21.8 x 15.7 x 1.5 cm
Weight
0.36 kg.
ISBN
9810227515
ISBN13
9789810227517
Categories

Understanding and Managing Interest Rate Risks

Ren-Raw Chen (Author) · World Scientific Publishing Company · Hardcover

Understanding and Managing Interest Rate Risks - Chen, Ren-Raw

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Synopsis "Understanding and Managing Interest Rate Risks"

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 written in English.

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The binding of this edition is Hardcover.

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