Interest Rate Risk Modeling: The Fixed Income Valuation Course: 178 (Wiley Finance) - Tapa dura

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Sanjay K. Nawalkha, PhD, is Associate Professor of Finance at the University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, especially in the areas of fixed income and asset pricing. He is the coeditor of the book Interest Rate Risk Measurement and Management, published by Institutional Investor. Dr. Nawalkha is also the President and founder of Nawalkha and Associates.

Gloria M. Soto, PhD, is Professor of Applied Economics and Finance at the University of Murcia, Spain. Dr. Soto has published extensively in both Spanish and international journals in finance, especially in the areas of interest rate risk management and related fixed income topics. She is also a partner at Nawalkha and Associates.

Natalia A. Beliaeva holds an MS in computer science (artificial intelligence) and expects to receive her PhD in finance from the University of Massachusetts Amherst in 2005. Ms. Beliaeva's expertise is in the area of applied numerical methods for pricing fixed income derivatives.

De la contraportada

The importance of managing interest rate risk cannot be overstated. The explosive growth of interest rate swaps over the last quarter century is a telling sign that financial institutions and other market participants are concerned about the risk interest rates pose. Yet there is no easy way to address this issue. This book?the first of three in the Fixed Income Valuation Course?seeks to improve the current information available on interest rate risk, and upgrade your understanding of how to measure and manage it.

Written by fixed income specialists Sanjay Nawalkha, Gloria Soto, and Natalia Beliaeva, Interest Rate Risk Modeling offers a detailed introduction to the various modeling techniques used by today's fixed income professionals. Whether you're measuring the non-parallel durations of a naked call option, adjusting the notional amounts in swaps and caps using the LIBOR market model, or computing the durations of default-prone bonds using the cutting-edge first-passage probability models, this book has what you need to succeed in a volatile interest rate environment. It examines the latest innovations in the area of interest rate risk management and provides a detailed look at the most widely used models in this field, including duration, convexity, M-absolute, M-square, duration vector, key rate durations, principal component durations, and others.

Interest Rate Risk Modeling also illustrates the applications of these models to regular bonds, callable bonds, T-Bill futures, T-Bond futures, Eurodollar futures, interest rate swaps, forward rate agreements, bond options, yield options (caps, floors, and collars), swaptions, mortgage-backed securities, and default-prone coupon bonds.

Accompanying the authors' in-depth insights and practical advice found within these pages is an information-packed CD-ROM that can show a term structure "movie" or estimate yield curves in seconds, in addition to solving the advanced risk management models. This electronic companion contains Excel®/VBA® spreadsheets for hands-on analysis, using various models presented in the book. Through a user-friendly format, these spreadsheets compute non-parallel interest rate risk measures for a variety of interest rate derivatives, and can implement passive portfolio strategies, such as immunization and index replication, or speculative strategies based upon expected yield curve movements.

Whether you are a manager of a pension bond fund, a manager of GICs at an insurance company, an analyst at a speculative hedge fund, or a VP at a commercial bank, if you want to excel at measuring and managing interest rate risk, you have to understand how to model it. Interest Rate Risk Modeling can show you how.

For more information on the three books in this course, including demo software and special features, please visit www.fixedincomerisk.com.

De la solapa interior

The importance of managing interest rate risk cannot be overstated. The explosive growth of interest rate swaps over the last quarter century is a telling sign that financial institutions and other market participants are concerned about the risk interest rates pose. Yet there is no easy way to address this issue. This book—the first of three in the Fixed Income Valuation Course—seeks to improve the current information available on interest rate risk, and upgrade your understanding of how to measure and manage it.

Written by fixed income specialists Sanjay Nawalkha, Gloria Soto, and Natalia Beliaeva, Interest Rate Risk Modeling offers a detailed introduction to the various modeling techniques used by today's fixed income professionals. Whether you're measuring the non-parallel durations of a naked call option, adjusting the notional amounts in swaps and caps using the LIBOR market model, or computing the durations of default-prone bonds using the cutting-edge first-passage probability models, this book has what you need to succeed in a volatile interest rate environment. It examines the latest innovations in the area of interest rate risk management and provides a detailed look at the most widely used models in this field, including duration, convexity, M-absolute, M-square, duration vector, key rate durations, principal component durations, and others.

Interest Rate Risk Modeling also illustrates the applications of these models to regular bonds, callable bonds, T-Bill futures, T-Bond futures, Eurodollar futures, interest rate swaps, forward rate agreements, bond options, yield options (caps, floors, and collars), swaptions, mortgage-backed securities, and default-prone coupon bonds.

Accompanying the authors' in-depth insights and practical advice found within these pages is an information-packed CD-ROM that can show a term structure "movie" or estimate yield curves in seconds, in addition to solving the advanced risk management models. This electronic companion contains Excel®/VBA® spreadsheets for hands-on analysis, using various models presented in the book. Through a user-friendly format, these spreadsheets compute non-parallel interest rate risk measures for a variety of interest rate derivatives, and can implement passive portfolio strategies, such as immunization and index replication, or speculative strategies based upon expected yield curve movements.

Whether you are a manager of a pension bond fund, a manager of GICs at an insurance company, an analyst at a speculative hedge fund, or a VP at a commercial bank, if you want to excel at measuring and managing interest rate risk, you have to understand how to model it. Interest Rate Risk Modeling can show you how.

For more information on the three books in this course, including demo software and special features, please visit www.fixedincomerisk.com.