Understanding And Managing Interest Rate Risks

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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: HardcoverNo of Pages: 176Imprint: World ScientificPublication date: 19961004Series: Series In Mathematical Finance Show more