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作者简介：
　　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.

内容简介

The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain 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.

目　　录

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

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 Convexit 　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 Market Model 　A Simple Introduction to Interest Rate Swaps 　Motivations for Interest Rate Swaps 　Pricing and Hedging with Interest Rate Swaps 　Forward Rate Agreements 　Pricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market Model 　Interest Rate Swaptions 　Numerical Analysis 　Notes Chapter 9: Key Rate Durations with VaR Analysis 　Key Rate Changes 　Key Rate Durations and Convexities 　Risk Measurement and Management 　Key Rate Durations and Value at Risk Analysis 　Limitations of the Key Rate Model 　Appendix 9.1: Computing Key Rate Risk Measures for Complex Securities and under Maturity Mismatches 　Notes Chapter 10: Principal Component Model with VaR Analysis 　From Term Structure Movements to Principal Components 　Principal Component Durations and Convexities 　Risk Measurement and Management with the Principal Component Model 　VaR Analysis Using the Principal Component Model 　Limitations of the Principal Component Model 　Applications to Mortgage Securities 　Appendix 10.1: Eigenvectors, Eigenvalues, and Principal Components 　Appendix 10.2: Computing Principal Component Risk Measures for Complex Securities and under 　Maturity Mismatches 　Notes Chapter 11: Duration Models for Default-Prone Securities 　Pricing and Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model 　The Asset Duration 　Pricing and Duration of a Default-Prone Zero-Coupon Bond: The Merton Framework 　Pricing and Duration of a Default-Prone Coupon Bond: The First Passage Models 　Appendix 11.1: Collin-Dufresne and Goldstein Model 　Notes References About the CD-ROM Index

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