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Informationen zum Autor 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. Klappentext The definitive guide to fixed income valuationFixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk in one easy-to-read volume. It examines the latest innovations in this field and provides information on virtually every well-known model used in valuing fixed income securities and derivatives. The companion CD-ROM contains numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena. Zusammenfassung The definitive guide to fixed income valuationFixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk in one easy-to-read volume. It examines the latest innovations in this field and provides information on virtually every well-known model used in valuing fixed income securities and derivatives. The companion CD-ROM contains numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena. Inhaltsverzeichnis 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 M...
