Interest Rate Risk Modeling / Wiley Finance Editions Bd.1 (PDF)

List of Figures. List of Tables. Chapter 1: Interest Rate Risk Modeling: An Overview. Duration and Convexity Models. M-Absolute and M-Square Models. Duration Vector Models. Key Rate Duration Models. Principal Component Duration Models. Applications to Financial Institutions. Interaction with Other Risks. Notes. Chapter 2: Bond Price, Duration, and Convexity. Bond Price under Continuous Compounding. Duration. Convexity. Common Fallacies Concerning Duration and Convexity. Formulas for Duration and Convexity. Appendix 2.1: Other Fallacies Concerning Duration and Convexity. Notes. Chapter 3: Estimation of the Term Structure of Interest Rates. Bond Prices, Spot Rates, and Forward Rates. Term Structure Estimation: The Basic Methods. Advance Methods in Term Structure Estimation. Notes. Chapter 4: M-Absolute and M-Square Risk Measures. Measuring Term Structure Shifts. M-Absolute versus Duration. M-Square versus Convexity. Closed-Form Solutions for M-Square and M-Absolute. Appendix 4.1: Derivation of the M-Absolute and M-Square Models. Appendix 4.2: Two-Term Taylor-Series-Expansion Approach to the M-Square Model. Notes. Chapter 5: Duration Vector Models. The Duration Vector Model. Generalized Duration Vector Models. Appendix 5.1: Derivation of the Generalized Duration Vector Models. Notes. Chapter 6: Hedging with Interest-Rate Futures. Eurodollar Futures. Treasury Bill Futures. Treasury Bond Futures. Treasury Note Futures. Appendix 6.1: The Duration Vector of the Eurodollar Futures. Appendix 6.2: The Duration Vector of the T-Bond Futures. Notes. Chapter 7: Hedging with Bond Options: A General Gaussian Framework. A General Gaussian Framework for Pricing Zero-Coupon Bond Options. The Duration Vectors of Bond Options. The Duration Vector of Callable Bonds. Estimation of Duration Vectors Using Non-Gaussian Term Structure Models. The Durations of European Options on Coupon Bonds and Callable Coupon Bonds. Chapter 8: Hedging with Swaps and Interest Rate Options Using the LIBOR

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.

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