Understanding and Managing Interest Rate Risks (Hardcover) (ISBN-13: 9789810227517)

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.

Author: Ren-Raw Chen
ISBN-10: 9810227515
ISBN-13: 9789810227517
Publisher: World Scientific Publishing Company
Language: English
Published: 10/04/1996
Pages: 176
Format: Hardcover
Weight: 0.79lbs
Size: 8.60h x 6.20w x 0.60d