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Frank J. Fabozzi

Measuring and Controlling Interest Rate Risk (Frank J. Fabozzi Series)

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ISBN: 1883249090
Издательство: John Wiley & Sons
Measuring and Controlling Interest Rate Risk provides an examination of various techniques for measuring and controlling the interest rate risk of a bond portfolio or trading position. Generously supplemented with tables and calculated examples, this authoritative book also gives comprehensive coverage to: defining and illustrating interest rate risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses, futures and forward contracts, interest rate swaps, exchange traded options, OTC options, and controlling interest rate risk with derivatives.
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