Understanding And Managing Interest Rate Risks

ISBN: 9789810227517 出版年：1996 页码：173 Ren-raw Chen World Scientific Publishing Company

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