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Understanding and Managing Interest Rate Risks

Autor Ren-Raw Chen
en Limba Engleză Hardback – 4 oct 1996
This work offers a summary of modern term structure theories and how interest rate contingent claims are priced under such theories. It reviews important term structure models and chooses one model to consistently demonstrate contingent claim pricing.
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Specificații

ISBN-13: 9789810227517
ISBN-10: 9810227515
Pagini: 176
Dimensiuni: 157 x 218 x 15 mm
Greutate: 0.36 kg
Editura: World Scientific Publishing Company

Cuprins

Term structure models; options and futures; common interest rate contracts; parameter estimation; hedging interest rate risks; current problems and future research.