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Cover of Understanding and managing interest rate risks

Understanding and managing interest rate risks

by Ren-Raw Chen

Mathematical modelsInterest rate riskFinancial futuresFixed-income securitiesInterest rates

This book is a systematic summary of modern term structure theories and how interest-rate-contingent claims are priced under such theories. It is the first book on such an attempt. It reviews important term structure models and chooses one model to consistently demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also presents a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.

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For young readers

Book data: Open Library