Understanding And Managing Interest Rate Risks

Understanding And Managing Interest Rate Risks

Ren-raw Chen

Format: Print Book

ISBN: 9789810227517

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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.

Format: Hardcover
No of Pages: 176
Imprint: World Scientific
Publication date: 19961004
Series: Series In Mathematical Finance

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