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Series in Mathematical Finance - Vol. 1
UNDERSTANDING AND MANAGING INTEREST RATE RISKS
by Ren-Raw Chen (Rutgers University, USA)
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.
Contents:
- Bond Primer
- Term Structure Models
- Options and Futures
- Common
Interest Rate Contracts
- Parameter Estimation
- Hedging Interest Rate Risks
- Current Problems and Future Research
- Bibliography
- Index
Readership: Advanced student and practitioners of applied mathematics, finance
and economics.
| 176pp |
Pub. date: Oct 1996 |
This is a Print On Demand title. We no longer stock the original but will recreate a copy for you. While all efforts are made to ensure that quality is the same as the original, there may be differences in some areas of the design and packaging.
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